Fast Computation of Efficient Portfolios
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Bibliographic InfoPaper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_32.
Date of creation: Oct 2000
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- Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
- Crum, Roy L. & Klingman, Darwin D. & Tavis, Lee A., 1979. "Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(01), pages 137-152, March.
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