Minimization of the root of a quadratic functional under an affine equality constraint

DOI10.1016/j.cam.2007.05.010zbMath1158.65324OpenAlexW2093030100MaRDI QIDQ929931

Zinoviy Landsman

Publication date: 19 June 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.05.010

zbMATH Keywords

minimizationcovarianceportfolio selectionroot of quadratic functionalrelative projection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Convex programming (90C25)

Related Items

Minimization of a function of a quadratic functional with application to optimal portfolio selection, Multiperiod mean-standard-deviation time consistent portfolio selection, Portfolio optimization by a bivariate functional of the mean and variance, Portfolio optimization with two quasiconvex risk measures, Skew-elliptical distributions with applications in risk theory, An improved closed-form solution for the constrained minimization of the root of a quadratic functional, On the tail mean-variance optimal portfolio selection, Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management, Portfolio optimization with two coherent risk measures

Cites Work

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