Solving nonlinear portfolio optimization problems with the primal-dual interior point method

DOI10.1016/j.ejor.2006.03.006zbMath1121.90117OpenAlexW1984862813MaRDI QIDQ877584

Andreas Grothey, Jacek Gondzio

Publication date: 3 May 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.03.006

zbMATH Keywords

nonlinear programmingparallel computinginterior point methodportfolio optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Interior-point methods (90C51) Portfolio theory (91G10)

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