scientific article; zbMATH DE number 1217671

MaRDI QIDQ4215027zbMATH OpenFDO

Authors

Publication date 19 April 1999

zbMATH Keywords

convex piecewise quadratic optimizationmean variance modelportfolio optimizationsemi-variancesequential quadratic programmingskewness

Mathematics Subject Classification ID

Quadratic programming (90C20) Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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(12)

• Optimal deviations from an asset allocation.
• Newton-type methods for stochastic programming.
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• An augmented Lagrangian filter method
• Optimal portfolio problem with unknown dependency structure
• Solving portfolio optimization problems with structured products
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• The portfolio problem
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