Convex duality in constrained mean-variance portfolio optimization (Q3435391)

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Convex duality in constrained mean-variance portfolio optimization
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    title
    Convex duality in constrained mean-variance portfolio optimization (English)
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    author
    Chantal Labbé
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    Andrew J. Heunis
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    publication date
    26 April 2007
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    Mathematics Subject Classification ID
    93E20
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    91G10
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    49N15
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    90C15
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    zbMATH DE Number
    5146432
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    zbMATH Keywords
    convex analysis
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    duality synthesis
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    variational analysis
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