Efficient implementation of an active set algorithm for large-scale portfolio selection

DOI10.1016/j.cor.2007.05.004zbMath1278.90295OpenAlexW2085079992MaRDI QIDQ925841

Hartmut Schmeck, Michael Stein, Juergen Branke

Publication date: 23 May 2008

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2007.05.004

zbMATH Keywords

parametric quadratic programmingefficient implementationmean-variance portfolio selectiondense covariance matrix

Mathematics Subject Classification ID

Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives ⋮ Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification ⋮ Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models ⋮ Dotted Representations of Mean-Variance Efficient Frontiers and their Computation ⋮ Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming ⋮ Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers ⋮ On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection ⋮ On analyzing and detecting multiple optima of portfolio optimization ⋮ Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets ⋮ A model of portfolio optimization using time adapting genetic network programming ⋮ Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming ⋮ Portfolio optimization with an envelope-based multi-objective evolutionary algorithm

Uses Software

• BLAS
• CPLEX
• OR-Library

Cites Work

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• Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• A practical anti-cycling procedure for linearly constrained optimization
• Heuristics for cardinality constrained portfolio optimization
• An Algorithm for Portfolio Optimization with Transaction Costs
• Large-Scale Portfolio Optimization
• An Algorithm for Large-Scale Quadratic Programming
• Numerical Optimization
• Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions

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