An interior point algorithm for large scale portfolio optimization (Q1313173)
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scientific article; zbMATH DE number 490530
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An interior point algorithm for large scale portfolio optimization |
scientific article; zbMATH DE number 490530 |
Statements
An interior point algorithm for large scale portfolio optimization (English)
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26 January 1994
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minimum-norm point problem
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portfolio selections
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interior point algorithm
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mean-variance
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index matching
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multiple factor models
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large scale portfolio optimization
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