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eess.SP2022
A Fast Successive QP Algorithm for General Mean-Variance Portfolio Optimization
Shengjie Xiu, Xiwen Wang, Daniel P. Palomar
The mean and variance of portfolio returns are the standard quantities to measure the expected return and risk of a portfolio. Efficient portfolios that provide optimal trade-offs…
eess.SP2022★ 1 cited
Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-t Distribution
Xiwen Wang, Rui Zhou, Jiaxi Ying +1
Since Markowitz's mean-variance framework, optimizing a portfolio that maximizes the profit and minimizes the risk has been ubiquitous in the financial industry. Initially, profit…