Multiperiod Portfolio Management Using Parallel Interior Point Method.
Ladislav HaladaMária LuckáIgor MelichercíkPublished in: PARCO (2003)
Keyphrases
- portfolio management
- interior point methods
- convex optimization
- portfolio optimization
- linear programming
- semidefinite programming
- primal dual
- linear program
- portfolio selection
- decision making
- robust optimization
- financial data
- transaction costs
- quadratic programming
- computationally intensive
- solving problems
- machine learning
- factor analysis
- multistage