Efficient implementation of an active set algorithm for large-scale portfolio selection

Computers and Operations Research

Volumn 35, Issue 12, 2008, Pages 3945-3961

  Stein, Michael ^a   Branke, Jürgen ^a   Schmeck, Hartmut ^a  

^a UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Dense covariance matrix; Efficient implementation; Mean variance portfolio selection; Parametric quadratic programming

Indexed keywords

COVARIANCE MATRIX; ITERATIVE METHODS; PARETO PRINCIPLE; PROBLEM SOLVING; QUADRATIC PROGRAMMING;

DENSE COVARIANCE MATRIX; MEAN-VARIANCE PORTFOLIO SELECTION; PARAMETRIC QUADRATIC PROGRAMMING;

ALGORITHMS;

EID: 42949146419     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2007.05.004     Document Type: Article

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