An interior point algorithm for large scale portfolio optimization

DOI10.1007/BF02282059MaRDI QIDQ1313173zbMATH OpenFDO

Authors Hitoshi Takehara

Publication date 26 January 1994

Published in Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

mean-varianceinterior point algorithmindex matchinglarge scale portfolio optimizationminimum-norm point problemmultiple factor modelsportfolio selections

Mathematics Subject Classification ID

Quadratic programming (90C20) Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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Cites work

• A DUAL ALGORITHM FOR FINDING THE MINIMUM-NORM POINT IN A POLYTOPE
• A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
• An \(O(\sqrt n L)\) iteration potential reduction algorithm for linear complementarity problems
• Convex Analysis
• Finding the nearest point in A polytope
• Linearly constrained estimation by mathematical programming

Cited in

(12)

• Internationally Diversified Investment Using an Integrated Portfolio Model
• An approximate algorithm for computing multidimensional convex hulls
• On the application of an augmented Lagrangian algorithm to some portfolio problems
• An algorithm for solving the minimum-norm point problem over the intersection of a polytope and an affine set
• Fast algorithms for sparse portfolio selection considering industries and investment styles
• An efficient algorithm for finding the minimum norm point in the convex hull of a finite point set in the plane
• Solving nonlinear portfolio optimization problems with the primal-dual interior point method
• An integrated stock-bond portfolio optimization model
• On the number of securities which constitute an efficient portfolio
• Simulated annealing for complex portfolio selection problems.
• An interior-point method for a class of saddle-point problems
• Solving a linear multiperiod portfolio problem by interior-point methodology

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