Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
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Cited in
(21)- Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives
- On analyzing and detecting multiple optima of portfolio optimization
- Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification
- Kernel search: an application to the index tracking problem
- Multicriteria decision systems for financial problems
- Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models
- A two-phase algorithm for the multiparametric linear complementarity problem
- Value of information in portfolio selection, with a Taiwan stock market application illustration
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- A multiple stochastic goal programming approach for the agent portfolio selection problem
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
- On the computation of the efficient frontier of the portfolio selection problem
- Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
- On solving parametric multiobjective quadratic programs with parameters in general locations
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing
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