Fast Computation of Efficient Portfolios

[1]  J. Bunch,et al.  Direct Methods for Solving Symmetric Indefinite Systems of Linear Equations , 1971 .

[2]  Anthony V. Fiacco,et al.  Nonlinear programming;: Sequential unconstrained minimization techniques , 1968 .

[3]  Yiannis A. Koskosidis,et al.  A Scenario-Based Approach to Active Asset Allocation , 1997 .

[4]  H. Konno,et al.  Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .

[5]  David G. Luenberger,et al.  Linear and nonlinear programming , 1984 .

[6]  H. Markowitz.  Portfolio Selection: Efficient Diversification of Investments , 1971 .

[7]  Gene H. Golub,et al.  Matrix computations , 1983 .

[8]  W. Greub.  Linear Algebra , 1981 .

[9]  W. V. Harlow.  Asset Allocation in a Downside-Risk Framework , 1991 .

[10]  Antonio Marcos Duarte Júnior.  A Framework for the Active Management of a Global Currency Fund , 1997 .

[11]  Roy L. Crum,et al.  Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations , 1979 .

[12]  Clyde L. Monma,et al.  An Implementation of a Primal-Dual Interior Point Method for Linear Programming , 1989, INFORMS J. Comput..

[13]  W. Ziemba,et al.  The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming , 1994 .

[14]  David Kendrick,et al.  GAMS, a user's guide , 1988, SGNM.

[15]  P. Fishburn.  Mean-Risk Analysis with Risk Associated with Below-Target Returns , 1977 .

[16]  J. Pasciak,et al.  Computer solution of large sparse positive definite systems , 1982 .

[17]  J. Overall,et al.  Applied multivariate analysis , 1983 .

[18]  Leland L. Johnson,et al.  The Theory of Hedging and Speculation in Commodity Futures , 1960 .

[19]  Alan L. Lewis,et al.  Semivariance and the Performance of Portfolios with Options , 1990 .

[20]  André F. Perold,et al.  Large-Scale Portfolio Optimization , 1984 .

[21]  P. Bickel,et al.  Mathematical Statistics: Basic Ideas and Selected Topics , 1977 .

[22]  Harry M. Markowitz,et al.  Computation of mean-semivariance efficient sets by the Critical Line Algorithm , 1993, Ann. Oper. Res..