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The optimization of a quadratic function subject to linear constraints

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Cited by:

  1. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2020. "Modeling asset allocation strategies and a new portfolio performance score," Papers 2012.05088, arXiv.org, revised Sep 2021.
  2. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
  3. Florian Methling & Rüdiger Nitzsch, 2019. "Naïve diversification in thematic investing: heuristics for the core satellite investor," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 568-580, December.
  4. William Spelman, 2006. "Growth, Stability, and the Urban Portfolio," Economic Development Quarterly, , vol. 20(4), pages 299-316, November.
  5. Charles. I. Nkeki, 2018. "Optimal Investment Strategy With Dividend Paying And Proportional Transaction Costs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-17, March.
  6. Jan Rosenzweig, 2020. "Fat Tailed Factors," Papers 2011.13637, arXiv.org, revised Dec 2021.
  7. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  8. Adler Haymans Manurung & Nita Yudhaningsih Sinaga & Amran Manurung, 2023. "Construction Portfolio Using Elton Gruber Model: COVID-19," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-6.
  9. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
  10. Jieshuang He, 2016. "Endogenous Bank Networks and Contagion," CAEPR Working Papers 2016-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  11. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
  12. J. Davis & P. Hagelstein & I. Lackner & R. Piziak, 2020. "The Efficient Frontier and International Portfolio Diversification in Taxable and Tax-Privileged Accounts," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 9(2), pages 1-3.
  13. repec:grm:ecoyun:201619 is not listed on IDEAS
  14. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
  15. Samia Omrane, 2012. "An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 59-87, March.
  16. Bethlendi, András, 2024. "Ágazati politika portfólióelméleti megközelítésben [Industry policy in a portfolio-theory approach]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 131-153.
  17. Jan Rosenzweig, 2021. "Power-law Portfolios," Papers 2104.07976, arXiv.org, revised Sep 2021.
  18. Barone, Luca, 2008. "Bruno de Finetti and the case of the critical line's last segment," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 359-377, February.
  19. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
  20. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
  21. Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
  22. Panos Xidonas & Haris Doukas, 2013. "Integrating analysts’ forecasts in the security screening process: empirical evidence from the Eurostoxx 50," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 685-699, April.
  23. Akhilesh KUMAR & Mohammad SHAHID, 2021. "Portfolio selection problem: Issues, challenges and future prospectus," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(629), W), pages 71-90, Winter.
  24. Bermin, Hans-Peter & Holm, Magnus, 2021. "Leverage and risk relativity: how to beat an index," Knut Wicksell Working Paper Series 2021/1, Lund University, Knut Wicksell Centre for Financial Studies.
  25. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
  26. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions," Operations Research, INFORMS, vol. 53(4), pages 586-599, August.
  27. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Dynamic Asset Allocation with Asset-Specific Regime Forecasts," Papers 2406.09578, arXiv.org, revised Aug 2024.
  28. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
  29. Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009. "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 330-336, March.
  30. Agrrawal, Pankaj & Borgman, Richard, 2010. "What Is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias Against Income-Generating Assets," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 11(4), pages 195-210.
  31. Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002. "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften dp0212, Universitaet Bern, Departement Volkswirtschaft.
  32. Florian Kellner & Bernhard Lienland & Sebastian Utz, 2021. "A multi‐criteria decision‐making approach for assembling optimal powertrain technology portfolios in low GHG emission environments," Journal of Industrial Ecology, Yale University, vol. 25(6), pages 1412-1429, December.
  33. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
  34. Marco Neffelli, 2018. "Target Matrix Estimators in Risk-Based Portfolios," Risks, MDPI, vol. 6(4), pages 1-20, November.
  35. Guillermo Gallego & Robin Roundy, 1992. "The economic lot scheduling problem with finite backorder costs," Naval Research Logistics (NRL), John Wiley & Sons, vol. 39(5), pages 729-739, August.
  36. Yue Qi, 2022. "Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models," Annals of Operations Research, Springer, vol. 311(2), pages 1203-1227, April.
  37. Fabrizio Maturo & Pierpaolo Angelini, 2023. "Aggregate Bound Choices about Random and Nonrandom Goods Studied via a Nonlinear Analysis," Mathematics, MDPI, vol. 11(11), pages 1-30, May.
  38. Yoshiharu Sato, 2019. "Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey," Papers 1904.04973, arXiv.org, revised May 2019.
  39. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.
  40. B. Vasilyev, 2015. "Using Intrinsic Time In Portfolio Optimization," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(2), pages 7-14.
  41. Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2019. "Network-based asset allocation strategies," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 516-536.
  42. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2021. "Modeling asset allocations and a new portfolio performance score," Digital Finance, Springer, vol. 3(3), pages 333-371, December.
  43. Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
  44. Steuer, Ralph E. & Qi, Yue & Wimmer, Maximilian, 2024. "Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices," European Journal of Operational Research, Elsevier, vol. 313(2), pages 628-636.
  45. Charles I. Nkeki, 2018. "Optimal investment risks management strategies of an economy in a financial crisis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-24, March.
  46. Richard E. Rosenthal, 1991. "Editorial," Naval Research Logistics (NRL), John Wiley & Sons, vol. 38(1), pages 1-1, February.
  47. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).
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