Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
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Publication:939577
DOI10.1016/j.cam.2007.09.023zbMath1152.65067OpenAlexW2089104804MaRDI QIDQ939577
Publication date: 22 August 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.2007.09.023
numerical exampleminimizationoptimal portfoliolinear equality constraintsroot of quadratic functional
Numerical mathematical programming methods (65K05) Convex programming (90C25) Portfolio theory (91G10)
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