Journal article

Hyper sensitivity analysis of portfolio optimization problems

L Churilov, IM Bomze, M Sniedovich, D Ralph

Asia-Pacific Journal of Operational Research | WORLD SCIENTIFIC PUBL CO PTE LTD | Published : 2004

DOI: 10.1142/S0217595904000175

University of Melbourne Researchers

Moshe Sniedovich Author Mathematics and Statistics

Leonid Churilov Author Medicine - Austin Health

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2Web of Science

Keywords

Science & Technology

Dynamic Programming

Operations Research & Management Science

Composite Concave Programming

Quadratic Programming

Portfolio Optimization

Hyper Sensitivity Analysis