SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES

DOI10.15807/jorsj.44.251zbMath1052.90046OpenAlexW10622507MaRDI QIDQ4483762

Naoya Kawadai, Hiroshi Konno

Publication date: 13 October 2003

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.44.251

zbMATH Keywords

portfolio optimizationlarge-scale dense non-factorable quadratic programmingprojected steepest descent algorithmprojected variable metric algorithm

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06)

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