Eigendecomposition of the Mean-Variance Portfolio Optimization Model

DOI10.1007/978-3-319-18567-5_11zbMath1366.91143OpenAlexW2136652226WikidataQ61940974 ScholiaQ61940974MaRDI QIDQ5270514

Torbjörn Larsson, Fred Mayambala, Elina Rönnberg

Publication date: 23 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-18567-5_11

zbMATH Keywords

quadratic programmingMarkowitz modelmodern portfolio theoryeigendecomposition

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

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