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MathGroup Archive 1998

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quadratic programs - Markowitz-type portfolio optimization

  • To: mathgroup at smc.vnet.net
  • Subject: [mg15271] quadratic programs - Markowitz-type portfolio optimization
  • From: "Dr. Thomas Burkhardt" <tburkha at bwl.tu-freiberg.de>
  • Date: Thu, 31 Dec 1998 04:39:28 -0500
  • Organization: TU Freiberg
  • Sender: owner-wri-mathgroup at wolfram.com

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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