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:
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.
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