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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Veröffentlicht in:	The journal of risk finance Jg. 11; H. 5; S. 481 - 495
Hauptverfasser:	Smimou, Kamal, Thulasiram, Ruppa K
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	London Emerald Group Publishing Limited 09.11.2010 Emerald Emerald Group Publishing, Ltd
Schlagworte:	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-Zugang:	Volltext
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