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

TI > Vol.2 No.4, November 2011

Volume 2, Issue 4 (November 2011)

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

Google-based Impact Factor: 1.39 Citations

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 9,261 Downloads 13,501 Views Citations

Author(s)

Zhongzhen Zhang, Huayu Zhang

Affiliation(s)

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.

KEYWORDS

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

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.

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