A dynamic programming approach to solve efficient frontier.

DOI10.1007/S001860400367zbMath1107.91053OpenAlexW1978060973MaRDI QIDQ703144

B. F. Moghaddam, Seyed Jafar Sadjadi, Mir-Bahador-Qoli Aryanezhad

Publication date: 11 January 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860400367

zbMATH Keywords

dynamic programmingparametric quadratic programmingeffective frontiermean-variance optimum portfolio

Mathematics Subject Classification ID

Quadratic programming (90C20) Dynamic programming (90C39)

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