Epsilon-dominating solutions in mean-variance portfolio analysis
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Publication:1291760
DOI10.1016/S0377-2217(97)00056-8zbMATH Open0960.91509WikidataQ127015656 ScholiaQ127015656MaRDI QIDQ1291760FDOQ1291760
Authors: D. J. White 
Publication date: 13 May 2001
Published in: European Journal of Operational Research (Search for Journal in Brave)
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Cites Work
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- Epsilon efficiency
- Large-Scale Portfolio Optimization
- A New and Efficient Algorithm for a Class of Portfolio Selection Problems
- The Optimal Selection of Small Portfolios
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- Finite Horizon Markov Decision Processes with Uncertain Terminal Payoffs
- An Integer Programming Algorithm for Portfolio Selection
- A finite algorithm to maximize certain pseudoconcave functions on polytopes
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Cited In (29)
- On \(q\)-steepest descent method for unconstrained multiobjective optimization problems
- Linear convergence of a nonmonotone projected gradient method for multiobjective optimization
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- Multiple reduced gradient method for multiobjective optimization problems
- Barzilai and Borwein's method for multiobjective optimization problems
- An external penalty-type method for multicriteria
- Generating \(\varepsilon\)-efficient solutions in multiobjective programming
- On approximate efficiency in multiobjective programming
- Convergence of the projected gradient method for quasiconvex multiobjective optimization
- Title not available (Why is that?)
- Portfolio inertia and epsilon-contaminations
- Convergence of a nonmonotone projected gradient method for nonconvex multiobjective optimization
- A projected subgradient method for nondifferentiable quasiconvex multiobjective optimization problems
- A barrier-type method for multiobjective optimization
- Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
- On the computation of the efficient frontier of the portfolio selection problem
- A steepest descent method for vector optimization
- Strictly feasible solutions and strict complementarity in multiple objective linear optimization
- A superlinearly convergent nonmonotone quasi-Newton method for unconstrained multiobjective optimization
- Alternative extension of the Hager–Zhang conjugate gradient method for vector optimization
- An augmented Lagrangian algorithm for multi-objective optimization
- Pareto front approximation through a multi-objective augmented Lagrangian method
- Convergence analysis of a projected gradient method for multiobjective optimization problems
- A memetic procedure for global multi-objective optimization
- Inexact projected gradient method for vector optimization
- Spectral projected subgradient method with a 1-memory momentum term for constrained multiobjective optimization problem
- A limited memory quasi-Newton approach for multi-objective optimization
- Nonlinear Conjugate Gradient Methods for Vector Optimization
- On the convergence of the projected gradient method for vector optimization
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