Notes on the Markowitz portfolio selection method

DOI10.1111/J.1467-9574.1988.TB01232.XzbMath0729.90004OpenAlexW2004866615MaRDI QIDQ3354412

Jan Th. van Lieshout, J. Kriens

Publication date: 1988

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/5571c61b-374f-4f79-b69a-9684b112b434

zbMATH Keywords

parametric programmingfinanceMarkowitz's critical line method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Sensitivity, stability, parametric optimization (90C31) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Portfolio theory (91G10)

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