A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050)
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scientific article; zbMATH DE number 7793172
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION |
scientific article; zbMATH DE number 7793172 |
Statements
A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (English)
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23 January 2024
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Markowitz mean-variance portfolio optimization
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sparsity
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asymptotic consistency
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0.8607028722763062
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0.7838769555091858
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0.776094913482666
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0.7736098766326904
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0.7722823023796082
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