An improved closed-form solution for the constrained minimization of the root of a quadratic functional

DOI10.1016/j.cam.2012.04.014zbMath1250.90088OpenAlexW2133009536MaRDI QIDQ442731

Iqbal Owadally

Publication date: 3 August 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.04.014

zbMATH Keywords

minimizationlinear constraintsportfolio selectionroot of quadratic functional

Mathematics Subject Classification ID

Nonlinear programming (90C30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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