Efficient implementation of an active set algorithm for large-scale portfolio selection-Reference-Cited by-同舟云学术

Efficient implementation of an active set algorithm for large-scale portfolio selection

Published:2008-12 Issue:12 Volume:35 Page:3945-3961
ISSN:0305-0548
Container-title:Computers & Operations Research
language:en
Short-container-title:Computers & Operations Research

Author:

Stein Michael,Branke Jürgen,Schmeck Hartmut

Publisher

Elsevier BV

Subject

Management Science and Operations Research,Modeling and Simulation,General Computer Science

Reference29 articles.

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2. The optimization of a quadratic function subject to linear constraints;Markowitz;Naval Research Logistics Quarterly,1956

3. Mean-variance analysis in portfolio choice and capital markets;Markowitz,1987

4. Portfolio selection: efficient diversification of investments;Markowitz,1959

5. Branke J, Scheckenbach B, Stein M, Deb K, Schmeck H. Portfolio optimization with an envelope-based multi-objective evolutionary algorithm, European Journal of Operational Research, submitted for publication.

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