Applying Markowitz's Critical Line Algorithm

Andras Niedermayer and Daniel Niedermayer

Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft

Abstract: We provide a Matlab quadratic optimization tool based on Markowitz's citical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to compute the whole frontier whereas the quickest competitor needs several hours. This paper can be considered as a didactic alternative to the critical line algorithm such as presented by Markowitz and treats all steps required by the algorithm explicitly. Finally, we present a benchmark of different optimization algorithms' performance

Keywords: finance; portfolio selection; efficient frontier; critical line algorithm; quadratic optimization; numerical methods (search for similar items in EconPapers)
JEL-codes: C15 C61 C63 G11 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-cmp and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://repec.vwiit.ch/dp/dp0602.pdf (application/pdf)

Related works:
Working Paper: Applying Markowitz's Critical Line Algorithm (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ube:dpvwib:dp0602

Access Statistics for this paper

More papers in Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft Contact information at EDIRC.
Bibliographic data for series maintained by Franz Koelliker ().