A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES

DOI10.15807/jorsj.35.93zbMath0763.90004OpenAlexW2167370664MaRDI QIDQ4018363

Ken-ichi Suzuki, Hiroshi Konno

Publication date: 16 January 1993

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.35.93

zbMATH Keywords

portfolio optimization

Mathematics Subject Classification ID

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