A dynamic programming approach to solve efficient frontier. (Q703144)
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scientific article; zbMATH DE number 2125812
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| English | A dynamic programming approach to solve efficient frontier. |
scientific article; zbMATH DE number 2125812 |
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A dynamic programming approach to solve efficient frontier. (English)
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11 January 2005
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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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dynamic programming
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effective frontier
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parametric quadratic programming
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mean-variance optimum portfolio
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0.8191853165626526
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0.8100281357765198
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0.8082282543182373
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0.803196370601654
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