Efficient implementation of an active set algorithm for large-scale portfolio selection (Q925841)
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scientific article; zbMATH DE number 5278688
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| English | Efficient implementation of an active set algorithm for large-scale portfolio selection |
scientific article; zbMATH DE number 5278688 |
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Efficient implementation of an active set algorithm for large-scale portfolio selection (English)
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23 May 2008
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parametric quadratic programming
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mean-variance portfolio selection
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dense covariance matrix
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efficient implementation
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0.8129252195358276
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0.8008860349655151
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0.78444904088974
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0.7665544152259827
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0.7557083368301392
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