Efficient implementation of an active set algorithm for large-scale portfolio selection (Q925841)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient implementation of an active set algorithm for large-scale portfolio selection |
scientific article |
Statements
Efficient implementation of an active set algorithm for large-scale portfolio selection (English)
0 references
23 May 2008
0 references
parametric quadratic programming
0 references
mean-variance portfolio selection
0 references
dense covariance matrix
0 references
efficient implementation
0 references
