An Algorithem of constrained least square for solving M-V model

摘要：

This paper introduces an algorithem for constrained least square problem which is called direct elimination for solving Mean-Variance model of portfolio management. This algorithem is efficient and stable for computation of portfolio, even for the problem with singular covariance matrix.

关键词： constrained least square problem direct elimination portfolio management

作者: Yong-Hui Liu Cheng-Yi Zhu Yi-Xin Chen

作者单位: Department of Applied Mathematics, Shanghai Finance University, Shanghai, 201209, P.R.China Department of Applied Mathematics, Shanghai University of Finance and Economics, Shanghai,200433, P.

会议类型: 国际会议

会议名称: The Third International Workshop on Applied Matriz Theory(第三届国际矩阵分析与应用会议)

会议地点: 杭州

会议语种:英文

页码: 811-814

在线出版日期: 2009-07-09（万方平台首次上网日期，不代表论文的发表时间）