This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio problems using a general form of parametric quadratic programming. The analysis allows an investor to examine how ...
The Journal of the Operational Research Society, Vol. 32, No. 9 (Sep., 1981), pp. 783-792 (10 pages) This paper first presents a formulation for a class of hierarchial problems that show a two-stage ...
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