Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification

DOI10.1080/03155986.2018.1533207OpenAlexW2911987416WikidataQ128417328 ScholiaQ128417328MaRDI QIDQ5884380

Yue Qi, Yushu Zhang, Siyuan Ma

Publication date: 20 March 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03155986.2018.1533207

zbMATH Keywords

portfolio optimizationdiversificationefficient setmultiple-objective optimizationparametric quadratic programming

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Sparse minimax portfolio and Sharpe ratio models ⋮ Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming

Cites Work

• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Time series: theory and methods
• Nonlinear multiobjective optimization
• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Multicriteria Optimization
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification