Book contents
- Frontmatter
- Contents
- Preface
- Part I Introduction
- Part II Single-Period Models
- 5 Quadratic Programming: Theory and Algorithms
- 6 Quadratic Programming Models: Mean–Variance Optimization
- 7 Sensitivity of Mean–Variance Models to Input Estimation
- 8 Mixed Integer Programming: Theory and Algorithms
- 9 Mixed Integer Programming Models: Portfolios with Combinatorial Constraints
- 10 Stochastic Programming: Theory and Algorithms
- 11 Stochastic Programming Models: Risk Measures
- Part III Multi-Period Models
- Part IV Other Optimization Techniques
- Appendices
- References
- Index
7 - Sensitivity of Mean–Variance Models to Input Estimation
from Part II - Single-Period Models
Published online by Cambridge University Press: 27 July 2018
Book contents
- Frontmatter
- Contents
- Preface
- Part I Introduction
- Part II Single-Period Models
- 5 Quadratic Programming: Theory and Algorithms
- 6 Quadratic Programming Models: Mean–Variance Optimization
- 7 Sensitivity of Mean–Variance Models to Input Estimation
- 8 Mixed Integer Programming: Theory and Algorithms
- 9 Mixed Integer Programming Models: Portfolios with Combinatorial Constraints
- 10 Stochastic Programming: Theory and Algorithms
- 11 Stochastic Programming Models: Risk Measures
- Part III Multi-Period Models
- Part IV Other Optimization Techniques
- Appendices
- References
- Index
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- Optimization Methods in Finance , pp. 124 - 139Publisher: Cambridge University PressPrint publication year: 2018