An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model ()
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.
Share and Cite:
Zhang, Z. and Zhang, H. (2011) An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model.
Technology and Investment,
2, 229-239. doi:
10.4236/ti.2011.24024.
Conflicts of Interest
The authors declare no conflicts of interest.
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