Best Michael J.

Michael J. Best

Information about the author Michael J. Best will soon be added to the site.
Found 4 papers in total
Quadratic programming with transaction costs
Quadratic programming with transaction costs
2008
We consider the problem of maximizing the mean–variance utility function of n...
An algorithm for portfolio optimization with transaction costs
An algorithm for portfolio optimization with transaction costs
2005
We consider the problem of maximizing an expected utility function of n assets, such...
Sensitivity analysis for Mean-Variance portfolio problems
Sensitivity analysis for Mean-Variance portfolio problems
1991
This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio...
Active set algorithms for isotonic regression; A unifying framework
Active set algorithms for isotonic regression; A unifying framework
1990
In this and subsequent papers the authors will show that several algorithms for the...
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