Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming

European Journal of Operational Research

Volumn 204, Issue 3, 2010, Pages 581-588

  Hirschberger, Markus ^a   Qi, Yue ^b   Steuer, Ralph E ^c  

^a CATHOLIC UNIVERSITY OF EICHSTÄTT INGOLSTADT   (Germany)

^b NANKAI UNIVERSITY   (China)

^c UNIVERSITY OF GEORGIA   (United States)

Author keywords

Bi criterion; Dense covariance matrices; Efficient frontiers; Hyperbolic segments; Large scale; Parametric quadratic programming; Portfolio selection

Indexed keywords

COMPUTATIONAL RESULTS; COVARIANCE MATRICES; EFFICIENT FRONTIER; LARGE-SCALE APPLICATIONS; LARGE-SCALE PROBLEM; MEAN VARIANCE; PARAMETRIC QUADRATIC PROGRAMMING; PORTFOLIO SELECTION;

COMPUTER SOFTWARE SELECTION AND EVALUATION; OPTIMIZATION;

COVARIANCE MATRIX;

EID: 75149115855     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.11.016     Document Type: Article

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