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OALib Journal期刊
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A Pivoting Based Algorithm for Self-Financing Mean Variance Portfolio Model
自融资均值方差投资组合模型的旋转算法

Keywords: Self-financing portfolio,mean-variance model,convex quadratic programming,pivoting algorithm
自融资投资组合
,均值方差模型,凸二次规划,旋转算法

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Abstract:

The self-financing portfolio problem is formulated as a convex quadratic programming where the variance risk of portfolio is minimized. It is solved by a pivoting based algorithm for the system of linear inequalities by solving the linear part of Kuhn-Tucker conditions while maintaining complementarity conditions.

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