A fast successive QP algorithm for general mean-variance portfolio optimization

DOI10.1109/TSP.2023.3295180MaRDI QIDQ6603646zbMATH OpenFDO

Authors Shengjie Xiu, Xiwen Wang, D. P. Palomar

Publication date 12 September 2024

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2023.3295180

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)

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