Simplified 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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MaMaEuSch has been carried out with the partial support of the European Community in the framework of the Sokrates programme. The content does not necessarily reflect the position of the European Community, nor does it involve any responsibility on the part of the European Community.
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2012
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-012-0067-4