Interior point algorithms for large-scale optimization problems and their applications to portfolio selections 大規模最適化問題に対する内点法とその資産選択への応用
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著者
書誌事項
- タイトル
-
Interior point algorithms for large-scale optimization problems and their applications to portfolio selections
- タイトル別名
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大規模最適化問題に対する内点法とその資産選択への応用
- 著者名
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竹原, 均, 1963-
- 著者別名
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タケハラ, ヒトシ
- 学位授与大学
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筑波大学
- 取得学位
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博士 (経営工学)
- 学位授与番号
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乙第925号
- 学位授与年月日
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1993-11-30
注記・抄録
博士論文
目次
- Contents / p1 (0003.jp2)
- 1 Introduction / p1 (0006.jp2)
- I Interior Point Algorithms for Large-Scale Portfolio Optimization / p4 (0009.jp2)
- 2 The Stationary Ball Method for Linear Programming:A Primal Simplex Method with a New Column Selection Rule / p5 (0010.jp2)
- 3 An Interior Point Algorithm for Linear Complementarity Problem / p25 (0030.jp2)
- 4 An Interior Point Algorithm for a Separable Convex Programming Problem / p46 (0051.jp2)
- II Applications of the Interior Point Methods in Portfolio Selections / p61 (0066.jp2)
- 5 An Interior Point Algorithm for Large-Scale Portfolio Optimization / p62 (0067.jp2)
- 6 A Penalty Function Approach to Portfolio Selections / p76 (0081.jp2)
- III Empirical Studies on the Portfolio Selection Problems / p86 (0091.jp2)
- 7 An Empirical Study on the Mean-Variance Portfolio Selection Model:Risk Management and Mean-Reversion in Japanese Stock Prices / p87 (0092.jp2)
- 8 International Diversification When Small Firm Stocks Are Treated as Separate Investment Assets:An Application of the Multi-Period Model / p99 (0104.jp2)
