Portfolio selection via replicator dynamics and projections of indefinite estimated covariances

Replicator dynamics are an increasingly popular device for obtaining (local) solutions of considerably high quality to so-called standard quadratic optimization problems, which consist of finding maxima of (possibly indefinite) quadratic forms over the standard simplex. In the simplest version of portfolio selection, the quadratic form is theoretically negative-semidefinite, so that any local solution automatically is a global one....

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Year of publication:	2000-10-01
Authors:	Bomze, Immanuel M.
Publisher:	Wirtschaftsuniversität <Wien>
Subject:	Portfolio Selection \| Quadratische Optimierung \| optimization

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Extent:	270336 bytes 11 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Elektronische Publikationen Working Paper Series SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 75
Type of publication:	Book / Working Paper
Language:	English
Classification:	Subject matter and research method of business administration ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841629