MathGroup Archive 1998

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quadratic programs - Markowitz-type portfolio optimization


Is anybody out there who knows of mathematica programs to solve
quadratic programs with inequality  and or equality constraints, which
typically arise in portfolio optimization problems. I would be
gratefual for any hints! Thank you so much!

-- 
------------------------------------------------------------- 
Dr. Thomas Burkhardt

e-mail: tburkha at bwl.tu-freiberg.de
Tel.:   +49-3731-39-2420
FAX:    +49-3731-39-4053

Fakultaet Wirtschaftswissenschaften
Technische Universitaet BA Freiberg
Lessingstr. 45
D-09596 Freiberg
Germany


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