Chapter | Sparse Matricies and Their Uses | 1981

Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems

by André Perold and Harry M. Markowitz

Keywords: Investment Portfolio; Mathematical Methods;

Citation:

Perold, André, and Harry M. Markowitz. "Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems." In Sparse Matricies and Their Uses, edited by I. S. Duff. Academic Press, 1981.