A simple parallel algorithm for large-scale portfolio problems

Purpose - Although the mean-variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large-scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk (standard devia...

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Bibliographic Details
Published in:	The journal of risk finance Vol. 11; no. 5; pp. 481 - 495
Main Authors:	Smimou, Kamal, Thulasiram, Ruppa K
Format:	Journal Article
Language:	English
Published:	London Emerald Group Publishing Limited 09.11.2010 Emerald Emerald Group Publishing, Ltd
Subjects:	Algorithms Analysis Capital assets Economic models Evaluation Expected values Linear programming Mathematical optimization Maßzahl Nichtlineare Optimierung Optimization Portfolio management Portfolio-Investition Random variables Standard deviation Statistical methods Theorie Optimization techniques Portfolio investment Modelling Programming and algorithm theory
ISSN:	1526-5943, 2331-2947
Online Access:	Get full text
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