Quadratic programming for portfolio optimization

Diem Ho

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 3, 189-194

Abstract: Portfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efficient optimization procedure taking advantage of the special structure of the portfolio selection problem. An example of its application to the traditional mean‐variance method will be shown. Formulation of the procedure shows that the solution of the problem is vector intensive and fits well with the advanced architecture of recent computers, namely the vector processor.

Date: 1992
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https://doi.org/10.1002/asm.3150080308

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:8:y:1992:i:3:p:189-194

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