A Stochastic Generalized Network Model and Large-Scale Mean-Variance Algorithm for Portfolio Selection

DOI10.1080/02522667.1988.10698932zbMath0658.90009OpenAlexW2074661090MaRDI QIDQ3807836

Fred Glover, C. Kenneth Jones

Publication date: 1988

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1988.10698932

zbMATH Keywords

frequency domainnetwork modellarge scale mean-variance portfolio selectionnonparametric description of stochastic processes

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Stochastic network models in operations research (90B15) Deterministic network models in operations research (90B10) Portfolio theory (91G10)

Related Items (2)

On the use of optimization models for portfolio selection: A review and some computational results ⋮ A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION

Cites Work

• The Simplex Method for Quadratic Programming
• Large-Scale Portfolio Optimization
• Decomposed enumeration of extreme points in the linear programming problem
• Bimatrix Equilibrium Points and Mathematical Programming
• Unnamed Item

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