A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals (Q1296022)
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scientific article; zbMATH DE number 1314731
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| English | A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals |
scientific article; zbMATH DE number 1314731 |
Statements
A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals (English)
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18 January 2001
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portfolio selection
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dual ascent
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risk return
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quadratic programming
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finance
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integer programming
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branch-and-bound
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0.7765792012214661
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0.7614136338233948
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0.7565970420837402
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0.7528697848320007
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0.747007429599762
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