Technology and Investment

Volume 2, Issue 4 (November 2011)

ISSN Print: 2150-4059   ISSN Online: 2150-4067

Google-based Impact Factor: 0.59  Citations  h5-index & Ranking

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

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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.

Cite this paper

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.

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