An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model

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DOI: 10.4236/ti.2011.24024   PDF   HTML     8,559 Downloads   12,110 Views   Citations

Abstract

This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.

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Z. Zhang and H. Zhang, "An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model," Technology and Investment, Vol. 2 No. 4, 2011, pp. 229-239. doi: 10.4236/ti.2011.24024.

Conflicts of Interest

The authors declare no conflicts of interest.

References

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[4] H. Markowitz, “Portfolio Selection,” The Journal of Finance, Vol. 7, No. 1, 1952, pp. 77-91. doi:10.2307/2975974
[5] H. M. Markowitz and G. P. Todd, “Mean-Variance Analysis in Portfolio Choice and Capital Markets,” Frank J. Fabozzi Associates, Pennsylvania, 2000.
[6] Z. Z. Zhang, “Convex Programming: Pivoting Algorithms for Portfolio Selection and Network Optimization,” Wuhan University Press, Wuhan, 2004.
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[8] Z. Z. Zhang, “An Efficient Method for Solving the Local Minimum of Indefinite Quadratic Programming,” 2007. http://www.numerical.rl.uk/qp/qp.html
[9] V. Chvatal, “Linear Programming,” W. H. Freeman Company, New York, 1983.

  
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