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Fast quadratic programming for mean-variance portfolio optimisation - MaRDI portal

Fast quadratic programming for mean-variance portfolio optimisation (Q2226482)

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Fast quadratic programming for mean-variance portfolio optimisation
scientific article

    Statements

    title
    Fast quadratic programming for mean-variance portfolio optimisation (English)
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    publication date
    8 February 2021
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    zbMATH Keywords
    quadratic programming
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    vectorisation
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    portfolio optimisation
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    algorithmic efficiency
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    describes a project that uses
    quadva
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    quadgk
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    Matlab
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    Identifiers

    zbMATH DE Number
    7307558
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    OpenAlex ID
    W3084584107
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