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Markowitz-Type Heuristics for Computing Jacobian Matrices Efficiently.

Andreas Alexander AlbrechtPeter GottschlingUwe Naumann
Published in: International Conference on Computational Science (2003)
Keyphrases
  • singular value decomposition
  • block diagonal
  • portfolio optimization
  • heuristic search
  • search algorithm
  • lower bound
  • covariance matrix
  • pseudo inverse