An interior point algorithm for large scale portfolio optimization.
Hitoshi TakeharaPublished in: Ann. Oper. Res. (1993)
Keyphrases
- portfolio optimization
- interior point algorithm
- linear programming
- portfolio selection
- primal dual
- problems involving
- factor analysis
- risk management
- stock market
- multicriteria optimization
- bi objective
- interior point methods
- stock exchange
- robust optimization
- simplex method
- optimization methods
- feature selection
- stock price
- ant colony optimization
- decision making