基于凸优化的投资组合选择

Proceedings of 1995 Conference on Computational Intelligence for Financial Engineering (CIFEr) Pub Date : 1995-04-09 DOI:10.1109/CIFER.1995.495267

P. Henrotte, H. Lebret

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引用次数: 0

摘要

凸分析的最新进展产生了有效的算法来解决凸约束优化问题。它们可以在金融和经济学中找到重要的应用，在这些领域，凸性通常在理论上是合理的。本文以投资组合问题为例，说明经典的均值-方差分析方法是如何推广的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Portfolio choice through convex optimization

Recent advances in convex analysis have produced efficient algorithms to solve convex constrained optimization problems. They can find important applications in finance and economics, where convexity is often theoretically justified. This paper considers as an example the portfolio selection problem and shows how the classical mean-variance analysis can be generalized.

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Proceedings of 1995 Conference on Computational Intelligence for Financial Engineering (CIFEr)

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