A Polynomial Algorithm for a NP-hard to Solve Optimization Problem

@inproceedings{Eberle2008APA,
  title={A Polynomial Algorithm for a NP-hard to Solve Optimization Problem},
  author={Stephan Eberle},
  year={2008}
}
Since Markowitz in 1952 described an efficient and practical way of finding the optimal portfolio allocation in the normal distributed case, a lot of progress in several directions has been made. The main objective of this thesis is to replace the original risk measure of the Markowitz setting by a more suitable one, Value-at-Risk. In adressing the optimal… CONTINUE READING