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 TI  Vol.2 No.4 , November 2011
An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model
Abstract: This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.
Cite this paper: nullZ. Zhang and H. Zhang, "An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model," Technology and Investment, Vol. 2 No. 4, 2011, pp. 229-239. doi: 10.4236/ti.2011.24024.
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