Usage of Cholesky decomposition in order to decrease the nonlinear complexities of some nonlinear and diversification models and present a model in framework of mean-semivariance for portfolio performance evaluation

DOI10.1155/2016/7828071zbMath1390.91288OpenAlexW2299432114WikidataQ59122801 ScholiaQ59122801MaRDI QIDQ1748503

M. H. Behzadi, H. Siaby-Serajehlo, Mohsen Rostamy-Malkhalifeh, Farhad Hosseinzadeh Lotfi

Publication date: 11 May 2018

Published in: Advances in Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/7828071

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Portfolio performance evaluation in a mean--variance--skewness framework
• Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression
• Nonlinear Programming

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