HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS

DOI10.1142/S0217595904000175zbMath1059.91037MaRDI QIDQ4650599

Moshe Sniedovich, Immanuel M. Bomze, Leonid Churilov, Daniel Ralph

Publication date: 18 February 2005

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Markowitz problemmean-variance utlity

Mathematics Subject Classification ID

Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

Related Items

ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION

Uses Software

• LINDO

Cites Work

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