An interior point algorithm for large scale portfolio optimization
type: Item
instance of: scholarly article
title: An interior point algorithm for large scale portfolio optimization
zbMATH Open document ID: 0785.90019
DOI: 10.1007/BF02282059
author: Hitoshi Takehara
published in: Annals of Operations Research
publication date: 1994-01-26T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90C06
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 490530
zbMATH Keywords: minimum-norm point problem
zbMATH Keywords: portfolio selections
zbMATH Keywords: interior point algorithm
zbMATH Keywords: mean-variance
zbMATH Keywords: index matching
zbMATH Keywords: multiple factor models
zbMATH Keywords: large scale portfolio optimization
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 490530