Author(s)

Zhongzhen Zhang, Huayu Zhang

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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.

Convex Quadratic Programming, Mean-Variance Portfolio Selection Model, Pivoting Algorithm

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.