Sensitivity analysis for mean-variance portfolio problems

Management Science

Volumn 37, Issue 8, 1991, Pages 980-989

  Best, Michael J ^a   Grauer, Robert R ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

MANAGEMENT; MATHEMATICAL PROGRAMMING; MATRIX ALGEBRA; OPTIMIZATION;

MEAN VARIANCE PORTFOLIO PROBLEMS; OPTIMAL PATHS; PARAMETRIC QUADRATIC PROGRAMMING; PIECEWISE PARABOLIC;

SENSITIVITY ANALYSIS;

EID: 0026207539     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.37.8.980     Document Type: Article

References (34)