Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- scientific article; zbMATH DE number 4085440 (Why is no real title available?)
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- scientific article; zbMATH DE number 1215253 (Why is no real title available?)
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Multi-objective optimization using evolutionary algorithms
- Multicriteria Optimization
- Nonlinear multiobjective optimization
- Time series: theory and methods
Cited in
(3)- Sparse minimax portfolio and Sharpe ratio models
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
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