General complementary pivot algorithm of quadratic programming and application in securities investment

MaRDI QIDQ2714891zbMATH OpenFDO

Authors Wei Song

Publication date 3 September 2001

Published in Journal of South China Normal University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

convex quadratic programmingcombination investmentgeneral complementary pivot algorithmirrelative asset

Mathematics Subject Classification ID

Quadratic programming (90C20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Extreme-point and pivoting methods (90C49)

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(1)

• Guaranteeing solutions of the quadratic programming problem with inexactly assigned parameters and their applications in the investment process

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