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Publication:3925818
zbMath0472.65053MaRDI QIDQ3925818
A. F. Perold, Harry M. Markowitz
Publication date: 1981
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
upper boundslower boundssparsitymean-variance portfolio selectionparametric quadratic programadditional variablesestimation of covarianceslarge portfolio optimizationpiecewise linear transactions costs
Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10) Probabilistic methods, stochastic differential equations (65C99)
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