A New and Efficient Algorithm for a Class of Portfolio Selection Problems

DOI10.1287/opre.28.3.754zbMath0451.90011OpenAlexW2122472260MaRDI QIDQ3898273

Publication date: 1980

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.28.3.754

zbMATH Keywords

finance portfolio selection efficient algorithm large-scale problems parametric linear complementarity problem parametric principal pivoting multiple index model

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Operations research and management science (90B99) Portfolio theory (91G10)

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