Epsilon-dominating solutions in mean-variance portfolio analysis
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Cites work
- scientific article; zbMATH DE number 3167494 (Why is no real title available?)
- scientific article; zbMATH DE number 3894855 (Why is no real title available?)
- scientific article; zbMATH DE number 3225772 (Why is no real title available?)
- A New and Efficient Algorithm for a Class of Portfolio Selection Problems
- A finite algorithm to maximize certain pseudoconcave functions on polytopes
- An Integer Programming Algorithm for Portfolio Selection
- Epsilon efficiency
- Finite Horizon Markov Decision Processes with Uncertain Terminal Payoffs
- Large-Scale Portfolio Optimization
- The Optimal Selection of Small Portfolios
Cited in
(29)- On the convergence of the projected gradient method for vector optimization
- 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
- scientific article; zbMATH DE number 5055325 (Why is no real title available?)
- 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
- An augmented Lagrangian algorithm for multi-objective optimization
- A superlinearly convergent nonmonotone quasi-Newton method for unconstrained multiobjective optimization
- Alternative extension of the Hager–Zhang conjugate gradient method for vector 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
- A limited memory quasi-Newton approach for multi-objective optimization
- Spectral projected subgradient method with a 1-memory momentum term for constrained multiobjective optimization problem
- Nonlinear Conjugate Gradient Methods for Vector Optimization
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