Fast recursive portfolio optimization

DOI10.3233/AF-140038MaRDI QIDQ4586438zbMATH OpenFDO

Authors Laurence S. Irlicht

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/AF-140038

zbMATH Keywords

algorithmic financebacktestingcomputational financecovariance estimationmathematical programmingportfolio optimizationquadratic optimization

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• Massively parallel processing of recursive multi-period portfolio models
• Fast quadratic programming for mean-variance portfolio optimisation
• scientific article; zbMATH DE number 2086680 (Why is no real title available?)

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