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