scientific article; zbMATH DE number 3740690

MaRDI QIDQ3925818zbMATH OpenFDO

Authors A. F. Perold, Harry M. Markowitz

Publication date 1981

zbMATH Keywords

additional variablesestimation of covarianceslarge portfolio optimizationlower boundsmean-variance portfolio selectionparametric quadratic programpiecewise linear transactions costssparsityupper bounds

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited in

(9)

• On the structure of convex piecewise quadratic functions
• A simple algorithm to incorporate transactions costs in quadratic optimization
• Portfolio optimization for wealth-dependent risk preferences
• Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
• Rigorous convergence analysis of alternating variable minimization with multiplier methods for quadratic programming problems with equality constraints
• A simplex algorithm for piecewise-linear programming I: Derivation and proof
• A fuzzy goal programming approach to portfolio selection
• Optimal asset allocation and nonlinear return predictability from the dividend-price ratio
• Stochastic network optimization models for investment planning

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