On admissible efficient portfolio selection policy

DOI10.1016/J.AMC.2004.09.079zbMATH Open1074.91023OpenAlexW2087226631MaRDI QIDQ2572364FDOQ2572364

Wei-Guo Zhang, Zankan Nie

Publication date: 16 November 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2004.09.079

zbMATH Keywords

Portfolio selectionQuadratic programmingAdmissible errorEfficient frontier

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Portfolio selection based on fuzzy probabilities and possibility distributions
• A model for portfolio selection with order of expected returns.
• Portfolio Selection: A Compromise Programming Solution
• Large-Scale Portfolio Optimization
• A New and Efficient Algorithm for a Class of Portfolio Selection Problems
• On standard quadratic optimization problems
• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• The efficient frontier for bounded assets
• SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES

Cited In (7)

• Duality in fuzzy quadratic programming with exponential membership functions
• Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model
• Quadratic programming with fuzzy parameters: a membership function approach
• A revisit to quadratic programming with fuzzy parameters
• A numerical solution method to interval quadratic programming
• Characterization of efficient frontier for mean-variance model with a drawdown constraint
• Optimality conditions for fuzzy number quadratic programming with fuzzy coefficients

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