## On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

*Bodnar, Taras*;

*Parolya, Nestor*;

*Schmid, Wolfgang*;

Related identifiers: - Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | Quantitative Finance - Computational Finance | Mathematics - Probability

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derive... View more

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