An improved closed-form solution for the constrained minimization of the root of a quadratic functional

DOI10.1016/j.cam.2012.04.014zbMath1250.90088MaRDI QIDQ442731

Iqbal Owadally

Publication date: 3 August 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.04.014

zbMATH Keywords

minimization; linear constraints; portfolio selection; root of quadratic functional

Mathematics Subject Classification ID

90C30: Nonlinear programming

91G80: Financial applications of other theories

91G10: Portfolio theory

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