Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling

DOI10.1007/s11425-008-0080-5zbMath1177.91126OpenAlexW2017460069MaRDI QIDQ1042804

Min Lai, Bao-Xue Zhang, Ning-Zhong Shi, Shurong Zheng

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-008-0080-5

zbMATH Keywords

portfolio analysisno short-sellingSharpe's ratio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (3)

Comparing large-sample maximum Sharpe ratios and incremental variable testing ⋮ Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints

Cites Work

• On standard quadratic optimization problems
• Epsilon-dominating solutions in mean-variance portfolio analysis
• Simulated annealing for complex portfolio selection problems.
• Unnamed Item

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