SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (Q4483762)

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scientific article; zbMATH DE number 1918922
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SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
scientific article; zbMATH DE number 1918922

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    SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (English)
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    13 October 2003
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    large-scale dense non-factorable quadratic programming
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    portfolio optimization
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    projected steepest descent algorithm
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    projected variable metric algorithm
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