Fast quadratic programming for mean-variance portfolio optimisation
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Publication:2226482
DOI10.1007/S43069-020-00025-0zbMATH Open1457.91344OpenAlexW3084584107MaRDI QIDQ2226482FDOQ2226482
Authors: Vasileios E. Kontosakos 
Publication date: 8 February 2021
Published in: SN Operations Research Forum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s43069-020-00025-0
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Cites Work
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- Solving Hyperbolic PDEs in MATLAB
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- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Historical Development of the Newton–Raphson Method
- Symmetric indefinite systems for interior point methods
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- A fast object-oriented MATLAB implementation of the reproducing kernel particle method
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- A globally convergent primal-dual interior point method for constrained optimization
- An \(O(n^ 3L)\) primal interior point algorithm for convex quadratic programming
- Title not available (Why is that?)
- Fuzzy portfolio optimization model under real constraints
- Portfolio optimization via stochastic programming: Methods of output analysis
Cited In (4)
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Benchmarking the performance of portfolio optimization with QAOA
- Fast recursive portfolio optimization
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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