Linear‐quadratic efficient frontiers for portfolio optimization

Alan J. King and David L. Jensen

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 3, 195-207

Abstract: Finding portfolios with given mean return and minimal lower partial mean or variance, two risk criteria of interest in the theory of optimal portfolio selection, is a stochastic linear‐quadratic program that can be converted to a large‐scale linear or quadratic program when the asset returns are finitely distributed. These efficient frontiers can be computed on presently available platforms for problems of reasonable size; we discuss our experience with a problem involving one thousand assets. Asymptotic statistics for stochastic programs can be applied to justify sampling as a means to approximate continuous distributions by finite distributions.

Date: 1992
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https://doi.org/10.1002/asm.3150080309

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:8:y:1992:i:3:p:195-207

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