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Hyper sensitivity analysis of portfolio optimization problems. (English) Zbl 1059.91037

This paper studies how the optimal solution to a mean-variance problem changes when the objective function changes. This analysis is useful in the context of goal seeking, i.e. when the decision maker is trying to reach several objectives at once.

MSC:

91G10 Portfolio theory
90C20 Quadratic programming
90C31 Sensitivity, stability, parametric optimization

Software:

LINDO
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References:

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