Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European Journal of Operational Research 229 (2013) 3, pp. 637-644
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic utility. Conditions are derived under which the...