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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.35 no.2, 2022년, pp.229 - 250
안다영 (성균관대학교 통계학과) , 박세영 (성균관대학교 통계학과)
Since the publication of Markowitz's (1952) mean-variance portfolio model, research on portfolio optimization has been conducted in many fields. The existing mean-variance portfolio model forms a nonlinear convex problem. Applying Dantzig's linear programming method, it was converted to a linear for...
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