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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    7,989 Downloads   11,346 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.

Conflicts of Interest

The authors declare no conflicts of interest.

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.

References

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[3] P. Wolfe, “The Simplex Method for Quadratic Programming,” Econometrica, Vol. 27, No. 10, 1959, pp. 382-398. doi:10.2307/1909468
[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.
[7] Z. Z. Zhang, “Quadratic Programming: Algorithms for Nonlinear Programming and Portfolio Selection,” Wuhan University Press, Wuhan, 2006.
[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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