Solving a linear multiperiod portfolio problem by interior-point methodology

DOI10.1007/BF00436583zbMath0759.90004OpenAlexW2095937525MaRDI QIDQ4022782

Ralf Oestermark

Publication date: 17 January 1993

Published in: Computer Science in Economics and Management (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00436583

zbMATH Keywords

polynomial convergenceinterior point algorithmalgorithm of centerslinear multiperiod programmingrevised simplex optimizer

Mathematics Subject Classification ID

Related Items (4)

Designing a superstructure for parametric search for optimal search spaces in non‐trivial optimization problems ⋮ A multiperiod firm model for strategic decision support ⋮ A flexible platform for mixed‐integer non‐linear programming problems ⋮ Dynamic portfolio management under competing representations

Cites Work

• A new polynomial-time algorithm for linear programming
• Steepest ascent algorithms for nonconical multiple objective programming
• Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
• On the completeness and constructiveness of parametric characterizations to vector optimization problems
• A polynomial-time algorithm, based on Newton's method, for linear programming
• The set of all nondominated solutions in linear cases and a multicriteria simplex method
• Multiple objective decision making - methods and applications. A state- of-the-art survey. In collaboration with Sudhakar R. Paidy and Kwangsun Yoon
• On the Performance of Karmarkar's Algorithm
• Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Solving a linear multiperiod portfolio problem by interior-point methodology