Constrained quadratic optimisation
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Abstract
These pages set out the mathematics behind constrained
quadratic optimisation, as implemented using a variant of the Simplex algorithm,
and this sort of optimisation relates to traditional Markowitz (i.e.
mean-variance) portfolio optimisation.
Contents
1. The
canonical problem
2. Solving
the canonical problem
3. Setting up
the ‘super’-problem
4. Updating
the tableau
5. Finishing
the algorithm
6. Portfolio
optimisation
Tools
References
NAVIGATION LINKS
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