Computation of mean-semivariance efficient sets by the critical line algorithm
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Publication:1313166
DOI10.1007/BF02282055zbMath0785.90017OpenAlexW1967136603MaRDI QIDQ1313166
Yuji Yamane, Ganlin Xu, Peter M. Todd, Harry M. Markowitz
Publication date: 26 January 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02282055
mean-semivariance portfolio optimizationmean-variance efficient frontiercritical line algorithmparametric non-quadratic programming
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