Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
نویسندگان
چکیده
Despite the volume of research conducted on efficient frontiers, in many cases it is still not the easiest thing to compute a mean-variance (MV) efficient frontier even when all constraints are linear. This is ∗Corresponding author [email protected]
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عنوان ژورنال:
- European Journal of Operational Research
دوره 204 شماره
صفحات -
تاریخ انتشار 2010