On the equivalence of quadratic optimization problems commonly used in portfolio theory
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- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
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- Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
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- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015.
"On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability,"
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- Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid, 2018. "Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios," Papers 1806.08005, arXiv.org, revised May 2019.
More about this item
KeywordsInvestment analysis; Mean–variance analysis; Parameter uncertainty; Interval estimation; Test theory;
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