A New and Efficient Algorithm for a Class of Portfolio Selection Problems

Jong-Shi Pang
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Jong-Shi Pang: Carnegie-Mellon University, Pittsburgh, Pennsylvania

Operations Research, 1980, vol. 28, issue 3-part-ii, 754-767

Abstract: This paper proposes a new approach and develops an efficient algorithm for solving a class of (simplified) portfolio selection problems. The approach is based on the technique of parametric principal pivoting. The algorithm is particularly suited for problems with special structure and can handle potentially large problems. When specialized to the multiple index model, the algorithm achieves enormous savings in computer storage and computations.

Date: 1980
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