Algorithms | |
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization | |
David H. Bailey1  | |
[1] Lawrence Berkeley National Laboratory, 1 Cyclotron Road, Berkeley, CA 94720, USA; E-Mail: | |
关键词: portfolio selection; quadratic programming; portfolio optimization; constrained efficient frontier; turning point; Kuhn-Tucker conditions; risk aversion; | |
DOI : 10.3390/a6010169 | |
来源: mdpi | |
【 摘 要 】
Portfolio optimization is one of the problems most frequently encountered by financial practitioners. The main goal of this paper is to fill a gap in the literature by providing a well-documented, step-by-step open-source implementation of
【 授权许可】
CC BY
© 2013 by the authors; licensee MDPI, Basel, Switzerland.
【 预 览 】
Files | Size | Format | View |
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RO202003190037532ZK.pdf | 401KB | download |