An Algorithem of constrained least square for solving M-V model

作者：Liu Yong Hui; Zhu Cheng Yi^*; Chen Yi Xin

来源：3rd International Workshop on Matrix Analysis and Applications, 2009-07-09 to 2009-07-13.

• constrained least square problem
• direct elimination
• portfolio management

This paper introduces an algorithem for constrained least square problem which is called direct elimination for solving Mean-Variance model of portfolio management. This algorithem is efficient and stable for computation of portfolio, even for the problem with singular covariance matrix.

• 出版日期2009
• 单位上海金融学院; 上海大学