Minimization of a function of a quadratic functional with application to optimal portfolio selection
DOI10.1007/S10957-015-0856-ZzbMATH Open1346.90668OpenAlexW2288285871MaRDI QIDQ306327FDOQ306327
Authors: Zinoviy Landsman, Udi E. Makov 
Publication date: 31 August 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-015-0856-z
Recommendations
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
- An improved closed-form solution for the constrained minimization of the root of a quadratic functional
- Minimax quadratic optimization and its application to investment planning
- Portfolio optimization by a bivariate functional of the mean and variance
- Problem of selecting an optimal portfolio with a probabilistic risk function
Convex programming (90C25) Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Normed linear spaces and Banach spaces; Banach lattices (46B99)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Title not available (Why is that?)
- Title not available (Why is that?)
- Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Title not available (Why is that?)
- On the tail mean-variance optimal portfolio selection
- Minimization of the root of a quadratic functional under an affine equality constraint
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
Cited In (12)
- Minimax quadratic optimization and its application to investment planning
- Portfolio optimization by a bivariate functional of the mean and variance
- Mean-variance portfolio management with functional optimization
- A globally convergent method for solving a quartic generalized Markowitz portfolio problem
- Specifying the systematic risk of portfolios : a closed form solution
- Portfolio optimization with two quasiconvex risk measures
- Minimization of the root of a quadratic functional under an affine equality constraint
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
- Portfolio optimization with two coherent risk measures
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
- Tail mean-variance portfolio selection with estimation risk
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
This page was built for publication: Minimization of a function of a quadratic functional with application to optimal portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q306327)
