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Book Chapter

Harry Markowitz and the Early History of Quadratic Programming

  • Cottle R
  • Infanger G
Springer US, (2010), 179-211
DOI: 10.1007/978-0-387-77439-8_8
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Abstract

… linear inequalities,” leaves open the possibility that the paper is about the optimization of a … for the Portfolio Selection Problem,” Markowitz discusses the process of solving the portfolio selection problem by Wolfe's simplex method for quadratic programming, viewing it …

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Cottle, R. W., & Infanger, G. (2010). Harry Markowitz and the Early History of Quadratic Programming. In Handbook of Portfolio Construction (pp. 179–211). Springer US. https://doi.org/10.1007/978-0-387-77439-8_8

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