M
Michael J. Best
Researcher at University of Waterloo
Publications - 40
Citations - 2403
Michael J. Best is an academic researcher from University of Waterloo. The author has contributed to research in topics: Quadratic programming & Portfolio optimization. The author has an hindex of 20, co-authored 40 publications receiving 2210 citations.
Papers
More filters
Journal ArticleDOI
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
Michael J. Best,Robert R. Grauer +1 more
TL;DR: Brown et al. as mentioned in this paper investigated the sensitivity of mean variance-efficient portfolios to changes in the means of individual assets and found that a positively weigbted mean-variance-efficient portfolio's weights, mean, and variance can be extremely sensitive to cbanges in asset means.
Journal ArticleDOI
Active set algorithms for isotonic regression: a unifying framework
TL;DR: The active set approach provides a unifying framework for studying algorithms for isotonic regression, simplifies the exposition of existing algorithms and leads to several new efficient algorithms, including a new O(n) primal feasible active set algorithm.
Journal ArticleDOI
Sensitivity Analysis for Mean-Variance Portfolio Problems
Michael J. Best,Robert R. Grauer +1 more
TL;DR: In this article, a general form of parametric quadratic programming is used to perform sensitivity analysis for mean-variance portfolio problems, which allows an investor to examine how parametric changes in either the means or the right-hand side of the constraints affect the composition, mean and variance of the optimal portfolio.
Book ChapterDOI
An Algorithm for the Solution of the Parametric Quadratic Programming Problem
TL;DR: An ”active set” algorithm for the solution of the convex (but not necessarily strictly convex) parametric quadratic programming problem that can be implemented using the linear equation solving method of any active set quadratics programming algorithm.