The multi-period portfolio-selection problem is formulated as a Markowitz mean-variance optimization problem. It is shown that the single-period Markowitz quadratic programming algorithm can be used ...

Variance is a measurement of the spread between numbers in a data set. Investors use the variance equation to evaluate a portfolio’s asset allocation.

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 ...

Object Details Author Qian, Song S Contents Basic Concepts -- Everglades Example -- Statistical Issues -- R -- What Is R? -- Getting Started with R -- R Commander -- Statistical Assumptions -- ...