SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (Q4483762)
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scientific article; zbMATH DE number 1918922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES |
scientific article; zbMATH DE number 1918922 |
Statements
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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