Laurence Irlicht

IFM Investors

Executive Director, Indexed & Quantitative Equities

Level 29, 2 Lonsdale Street

Melbourne, 3000

Australia

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Scholarly Papers (1)

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Fast Recursive Portfolio Optimization

Algorithmic Finance 2014, 3:3-4, pp. 173-188
Number of pages: 17 Posted: 11 Dec 2014
Laurence Irlicht
IFM Investors
Downloads 322 (105,080)

Abstract:

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Portfolio optimization, algorithmic finance, covariance estimation, quadratic optimization, computational finance, mathematical programming, Backtesting