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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;

Format: Print

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.

About the Author

Andre F. Perold

George Gund Professor of Finance and Banking, Emeritus

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