The general mean-variance portfolio selection problem

DOI10.1098/RSTA.1994.0063MaRDI QIDQ4698071zbMATH OpenOpenAlexFDO

Authors Harry M. Markowitz

Publication date 14 May 1995

Published in Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rsta.1994.0063

zbMATH Keywords

general mean-variance portfolio analysis problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited in

(11)

• A test for the global minimum variance portfolio for small sample and singular covariance
• Towards a more precise decision framework. A separation of the negative utility of chance from diminishing marginal utility and the preference for safety
• A study on sequential minimal optimization methods for standard quadratic problems
• Inverse portfolio problem with mean-deviation model
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
• scientific article; zbMATH DE number 1539032 (Why is no real title available?)
• A penalty decomposition approach for multi-objective cardinality-constrained optimization problems
• On tractable convex relaxations of standard quadratic optimization problems under sparsity constraints
• On the computation of the efficient frontier in advanced sparse portfolio optimization
• Portfolio selection in multidimensional general and partial moment space

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