Usage of Cholesky Decomposition in order to Decrease the Nonlinear Complexities of Some Nonlinear and Diversification Models and Present a Model in Framework of Mean-Semivariance for Portfolio Performance Evaluation
In order to get efficiency frontier and performance evaluation of portfolio, nonlinear models and DEA nonlinear (diversification) models are mostly used. One of the most fundamental problems of usage of nonlinear and diversification models is their computational complexity. Therefore, in this paper,...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2016-01-01
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| Series: | Advances in Operations Research |
| Online Access: | http://dx.doi.org/10.1155/2016/7828071 |