A simple SSD-efficiency test |
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| Authors: | Bogdan Grechuk |
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| Institution: | 1. Department of Mathematics, University of Leicester, Leicester, UK
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| Abstract: | A linear programming SSD-efficiency test capable of identifying a dominating portfolio is proposed. It has \(T+n\) variables and at most \(2T+1\) constraints, whereas the existing SSD-efficiency tests are either unable to identify a dominating portfolio, or require solving a linear program with at least \(O(T^2+n)\) variables and/or constraints. |
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