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Fast Computation of Efficient Portfolios

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  • Duarte Jr, A. M.

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  • Duarte Jr, A. M., 2000. "Fast Computation of Efficient Portfolios," Finance Lab Working Papers flwp_32, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  • Handle: RePEc:ibm:finlab:flwp_32
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    File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=674
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    References listed on IDEAS

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    1. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    2. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    3. 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.
    4. 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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