Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
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Publication:2267663
DOI10.1016/j.ejor.2009.11.016zbMath1181.90211OpenAlexW2073229725MaRDI QIDQ2267663
Markus Hirschberger, Yue Qi, Ralph E. Steuer
Publication date: 1 March 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.11.016
portfolio selectionlarge-scaleefficient frontiersparametric quadratic programmingbi-criteriondense covariance matriceshyperbolic segments
Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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