Quadratic programming applications in finance using excel

Journal of the Operational Research Society

Volumn 50, Issue 12, 1999, Pages 1256-1266

  Jackson, M ^a   Staunton, M D ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Finance; Optimisation; Portfolio investment; Quadratic programming; Spreadsheets

Indexed keywords

CONSTRAINT THEORY; FINANCIAL DATA PROCESSING; MATRIX ALGEBRA; QUADRATIC PROGRAMMING; RISK MANAGEMENT; SPREADSHEETS;

PORTFOLIO INVESTMENTS; SOFTWARE PACKAGE EXCEL;

OPERATIONS RESEARCH;

EID: 0033283622     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2600839     Document Type: Article

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5. Lobosco A and DiBartolomeo D 1997. Approximating the confidence intervals for Sharpe style weights. Financial Anal J Jul/Aug: 80-85.