An Algorithem of constrained least square for solving M-V model
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.
constrained least square problem direct elimination portfolio management
Yong-Hui Liu Cheng-Yi Zhu Yi-Xin Chen
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.
国际会议
The Third International Workshop on Applied Matriz Theory(第三届国际矩阵分析与应用会议)
杭州
英文
811-814
2009-07-09(万方平台首次上网日期,不代表论文的发表时间)