A dynamic programming approach to solve efficient frontier.

DOI10.1007/S001860400367MaRDI QIDQ703144zbMATH OpenOpenAlexFDO

Authors Babak Farhang Moghaddam, Seyed Jafar Sadjadi, Mir-Bahador Aryanezhad

Publication date 11 January 2005

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860400367

zbMATH Keywords

dynamic programmingeffective frontiermean-variance optimum portfolioparametric quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Dynamic programming (90C39)

Review text

In this paper, an explicit solution is given for the mean-variance optimum portfolio problem with uncorrelated risk assets and one risk free asset prelude short sells.

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Cited in

(9)

• Computation of mean-semivariance efficient sets by the critical line algorithm
• The efficient frontier for bounded assets
• Algorithm for constructing the efficient frontier of an investment portfolio
• On the computation of the efficient frontier of the portfolio selection problem
• Diversified portfolios with different entropy measures
• Specifying the systematic risk of portfolios : a closed form solution
• Producing the tangency portfolio as a corner portfolio
• Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
• Portfolio rebalancing model using multiple criteria

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