A fast Markowitz critical line algorithm

MaRDI QIDQ4899744zbMATH OpenFDO

Authors

Publication date 9 January 2013

Full work available at URL http://mathnet.ru/eng/mm/v23/i9/p120

zbMATH Keywords

insurancerisk theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(1)

• Algorithm to solve the generalized Markowitz problem

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