Efficient implementation of an active set algorithm for large-scale portfolio selection
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Publication:925841
DOI10.1016/j.cor.2007.05.004zbMath1278.90295OpenAlexW2085079992MaRDI QIDQ925841
Hartmut Schmeck, Michael Stein, Juergen Branke
Publication date: 23 May 2008
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2007.05.004
parametric quadratic programmingefficient implementationmean-variance portfolio selectiondense covariance matrix
Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (12)
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Uses Software
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