An interior point algorithm for large scale portfolio optimization

DOI10.1007/BF02282059zbMath0785.90019MaRDI QIDQ1313173

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

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

Related Items (8)

An efficient algorithm for finding the minimum norm point in the convex hull of a finite point set in the plane ⋮ An integrated stock-bond portfolio optimization model ⋮ Simulated annealing for complex portfolio selection problems. ⋮ Fast algorithms for sparse portfolio selection considering industries and investment styles ⋮ An algorithm for solving the minimum-norm point problem over the intersection of a polytope and an affine set ⋮ An approximate algorithm for computing multidimensional convex hulls ⋮ Internationally Diversified Investment Using an Integrated Portfolio Model ⋮ On the number of securities which constitute an efficient portfolio

Cites Work

• An \(O(\sqrt n L)\) iteration potential reduction algorithm for linear complementarity problems
• Linearly constrained estimation by mathematical programming
• 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
• Finding the nearest point in A polytope
• Convex Analysis

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