Usage of Cholesky decomposition in order to decrease the nonlinear complexities of some nonlinear and diversification models and present a model in framework of mean-semivariance for portfolio performance evaluation

DOI10.1155/2016/7828071MaRDI QIDQ1748503zbMATH OpenOpenAlexWikidataFDO

Authors H. Siaby-Serajehlo, M. Rostamy-Malkhalifeh, M. H. Behzadi, Farhad Hosseinzadeh Lotfi

Publication date 11 May 2018

Published in Advances in Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2016/7828071

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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Cites work

• Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
• Nonlinear Programming
• Portfolio performance evaluation in a mean--variance--skewness framework
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression

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