Fast Quadratic Programming for Mean-Variance Portfolio Optimisation
نویسندگان
چکیده
منابع مشابه
Mean - Variance Portfolio Optimisation
QP is the optimization of a quadratic function subject to linear equality and inequality constraints. It arises in multiple objective decision making where the departure of the actual decisions from their corresponding ideal, or bliss, value can be evaluated using a weighted quadratic norm as a measure of deviation. The formulation of mean-variance optimization of uncertain systems also leads t...
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ژورنال
عنوان ژورنال: SN Operations Research Forum
سال: 2020
ISSN: 2662-2556
DOI: 10.1007/s43069-020-00025-0