Fast quadratic programming for mean-variance portfolio optimisation

DOI10.1007/S43069-020-00025-0MaRDI QIDQ2226482zbMATH OpenOpenAlexFDO

Authors Vasileios E. Kontosakos

Publication date 8 February 2021

Published in SN Operations Research Forum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s43069-020-00025-0

zbMATH Keywords

quadratic programmingportfolio optimisationalgorithmic efficiencyvectorisation

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

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• Fast recursive portfolio optimization
• Quadratic programming with transaction costs

Cites work

• scientific article; zbMATH DE number 1189130 (Why is no real title available?)
• A fast object-oriented MATLAB implementation of the reproducing kernel particle method
• A globally convergent primal-dual interior point method for constrained optimization
• An \(O(n^ 3L)\) primal interior point algorithm for convex quadratic programming
• Dual techniques for constrained optimization
• Dynamic portfolio choice with frictions
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Efficient and flexible Matlab implementation of 2D and 3D elastoplastic problems
• Fuzzy portfolio optimization model under real constraints
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Historical Development of the Newton–Raphson Method
• On Adaptive-Step Primal-Dual Interior-Point Algorithms for Linear Programming
• On the use of optimization models for portfolio selection: A review and some computational results
• Portfolio optimization via stochastic programming: Methods of output analysis
• Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization
• Solving Hyperbolic PDEs in MATLAB
• Symmetric indefinite systems for interior point methods
• Vectorized adaptive quadrature in MATLAB

Cited in

(4)

• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Benchmarking the performance of portfolio optimization with QAOA
• Fast recursive portfolio optimization
• Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

Describes a project that uses

Uses Software

• quadva
• matlab_fem_elastoplasticity
• quadgk
• Matlab

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