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  • Search: subject:"parametric quadratic programming"
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Year of publication
Subject
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parametric quadratic programming 6 Mathematical programming 5 Mathematische Optimierung 5 Portfolio-Management 5 Theorie 5 Theory 5 Parametric quadratic programming 4 Portfolio selection 4 mean-variance portfolio selection 3 Dynamic Programming 2 Efficient Frontier 2 Nichtlineare Optimierung 2 Nonlinear programming 2 Parametric Quadratic Programming 2 capital market line 2 efficient frontier 2 efficient set 2 Aktienmarkt 1 Capital Asset Pricing Model 1 Complementarity constraints 1 Covariance matrix 1 Diversification 1 Diversifikation 1 Efficiency 1 Efficient points 1 Effizienz 1 Gas industry 1 Gas supply 1 Gas transport networks 1 Gasversorgung 1 Gaswirtschaft 1 Information value 1 Informationswert 1 Inverse parametric quadratic programming 1 M-V optimization 1 MPCC 1 Mixing 1 Multi-criteria analysis 1 Multi-objective 1 Multikriterielle Entscheidungsanalyse 1
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Online availability
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Undetermined 10 Free 2
Type of publication
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Article 11 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 1
Language
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English 7 Undetermined 6
Author
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Hlouskova, Jaroslava 4 Best, Michael J. 3 Aryanezhad, M. B. 2 Lee, Gabriel S. 2 Moghaddam, B. F. 2 Qi, Yue 2 Sadjadi, S. J. 2 Ballestero, Enrique 1 Grauer, Robert R. 1 Hante, Falk Michael 1 Jahandideh, Mohamad Taghi 1 Kao, Chiang 1 Keykhaei, Reza 1 Ma, Siyuan 1 Schmidt, Martin 1 Steuer, Ralph E. 1 Zhang, Yushu 1
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Institution
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Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1
Published in...
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Computational Statistics 2 Mathematical Methods of Operations Research 2 Applied Mathematical Finance 1 EURO journal on computational optimization 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 European journal of operational research : EJOR 1 INFOR : information systems and operational research 1 Journal of the Operational Research Society 1 Management Science 1 RAIRO / Operations research 1 Reihe Ökonomie / Economics Series 1
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Source
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RePEc 7 ECONIS (ZBW) 5 EconStor 1
Showing 11 - 13 of 13
Cover Image
The efficient frontier for bounded assets
Best, Michael J.; Hlouskova, Jaroslava - In: Mathematical Methods of Operations Research 52 (2000) 2, pp. 195-212
This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and bounded assets when an additional technical assumption is satisfied. Although the assumption of uncorrelated assets is unduly restrictive, the explicit determination of the efficient...
Persistent link: https://www.econbiz.de/10010950255
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Cover Image
The efficient frontier for bounded assets
Best, Michael J.; Hlouskova, Jaroslava - In: Computational Statistics 52 (2000) 2, pp. 195-212
This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and bounded assets when an additional technical assumption is satisfied. Although the assumption of uncorrelated assets is unduly restrictive, the explicit determination of the efficient...
Persistent link: https://www.econbiz.de/10010759458
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Cover Image
Sensitivity Analysis for Mean-Variance Portfolio Problems
Best, Michael J.; Grauer, Robert R. - In: Management Science 37 (1991) 8, pp. 980-989
parametric quadratic programming. The analysis allows an investor to examine how parametric changes in either the means or the …
Persistent link: https://www.econbiz.de/10009214132
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