Tangency portfolios in the lp solvable portfolio selection models
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Publication:3166274
DOI10.1051/RO/2012012zbMATH Open1248.90062OpenAlexW2075981520MaRDI QIDQ3166274FDOQ3166274
Authors: Reza Keykhaei, Mohamad Taghi Jahandideh 
Publication date: 10 October 2012
Published in: RAIRO - Operations Research (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=RO_2012__46_2_149_0/
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linear programmingsubgradienttangency portfolioAneja-Nair methodLP solvable portfolio selection models
Cites Work
- Two-phase Pareto local search for the biobjective traveling salesman problem
- A minimax portfolio selection rule with linear programming solution
- Bicriteria Transportation Problem
- Title not available (Why is that?)
- Title not available (Why is that?)
- Portfolio optimization under a minimax rule
- Portfolio selection problem with minimax type risk function
- A note on calculating the optimal risky portfolio
Cited In (4)
- Producing the tangency portfolio as a corner portfolio
- Title not available (Why is that?)
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
- A note on optimal portfolio corresponding to the CVaR ratio
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