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A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION - MaRDI portal

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050)

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scientific article; zbMATH DE number 7793172
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A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
scientific article; zbMATH DE number 7793172

    Statements

    title
    A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (English)
    0 references
    publication date
    23 January 2024
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    zbMATH Keywords
    Markowitz mean-variance portfolio optimization
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    sparsity
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    asymptotic consistency
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    cites work
    Q5531480
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    Identifiers

    zbMATH DE Number
    7793172
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