Cover: The Optimization of Quadratic Functions Subject to Linear Constraints

The Optimization of Quadratic Functions Subject to Linear Constraints

Published 1955

by Harry Max Markowitz

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A computing technique for generating several efficient sets of combinations of the expected value, and the variance of the payoff. While this study discusses only minimization problems involving a quadratic form whose matrix is positive semidefinite, this technique may be adapted for problems of maximizing or minimizing quadratic forms (with the right properties) subject to linear constraints.

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