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An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model

Veröffentlicht: 2011 November
Erscheinungsort: USA
Journal: Technology and Investment
Nummer: 04
Seiten: 229-239

Volume: 02


This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.

ISSN: 2150-4067
Weitere Informationen unter: Link
DOI Link: 10.4236/ti.2011.24024


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