A Parametric Linear Complementarity Technique for Optimal Portfolio Selection with a Risk-Free Asset

DOI10.1287/OPRE.28.4.927zbMath0441.90047OpenAlexW1987715463MaRDI QIDQ3883877

Jong-Shi Pang

Publication date: 1980

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.28.4.927

zbMATH Keywords

computational resultscomparison of algorithmstwo-stage approachparametric approachrisk-free assetparametric linear complementarity techniquesingle-period optimal portfolio selection problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Fractional programming (90C32) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Specification and verification (program logics, model checking, etc.) (68Q60) Operations research and management science (90B99)

Related Items (8)

A two-phase algorithm for the multiparametric linear complementarity problem ⋮ A proximal algorithm with backtracked extrapolation for a class of structured fractional programming ⋮ Some n by dn linear complementarity problems ⋮ A parametric linear complementarity technique for the computation of equilibrium prices in a single commodity spatial model ⋮ A finite improvement algorithm for the linear complementarity problem ⋮ A reference direction approach to multiple objective quadratic-linear programming ⋮ First-Order Algorithms for a Class of Fractional Optimization Problems ⋮ Bibliography in fractional programming

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