SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
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Publication:4483762
DOI10.15807/jorsj.44.251zbMath1052.90046MaRDI QIDQ4483762
Publication date: 13 October 2003
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.44.251
portfolio optimization; large-scale dense non-factorable quadratic programming; projected steepest descent algorithm; projected variable metric algorithm
90C06: Large-scale problems in mathematical programming
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