Linear‐quadratic efficient frontiers for portfolio optimization

DOI10.1002/asm.3150080309zbMath0800.90055OpenAlexW2102364101MaRDI QIDQ4299536

Alan J. King, David L. Jensen

Publication date: 4 July 1994

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150080309

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (5)

Network planning under uncertainty with an application to hydropower generation ⋮ Scenario-based stochastic programs: Resistance with respect to sample ⋮ Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability ⋮ Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions ⋮ Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

Uses Software

• OSL

Cites Work

• Computational schemes for large-scale problems in extended linear- quadratic programming
• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• Robust Statistics
• Unnamed Item

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