A Krylov subspace approach to large portfolio optimization

DOI10.1016/j.jedc.2012.04.009zbMath1345.91081OpenAlexW3124978215MaRDI QIDQ311020

Wachindra Bandara, Isabelle Bajeux-Besnainou, Efstathia Bura

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.04.009

zbMATH Keywords

algorithmsingular systemsKrylov subspacessample covariance matrixglobal minimum portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Portfolio theory (91G10)

Cites Work

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• Cluster analysis for portfolio optimization
• Krylov methods for solving models with forward-looking variables
• Some results about GMRES in the singular case
• Flexible shrinkage in portfolio selection
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Recent computational developments in Krylov subspace methods for linear systems
• GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
• Breakdown-free GMRES for Singular Systems
• The principle of minimized iterations in the solution of the matrix eigenvalue problem

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