Quadratic programming for portfolio planning: Insights into algorithmic and computational issues

Gautam Mitra (), Frank Ellison and Alan Scowcroft
Additional contact information
Gautam Mitra: CARISMA — The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University

Journal of Asset Management, 2007, vol. 8, issue 3, No 6, 200-214

Abstract: Abstract Convex quadratic programming (QP) as applied to portfolio planning is established and well understood. In this paper, presented in two parts, we highlight the importance of choosing an algorithm that processes a family of problems efficiently. In Part I in particular we describe an adaptation of the simplex method for QP. The method takes advantage of the sparse features of simplex and the use of the duality property makes it ideally suited for processing the discrete optimisation models. Part II (to be published in issue 8/4) of the paper considers a family of discrete QP formulations of the portfolio problem, which captures threshold constraints and cardinality restrictions. We describe the adaptation of a novel method ‘branch, fix and relax’ to process this class of models efficiently. Theory and computational results are presented.

Keywords: mean–variance model; threshold constraints; cardinality constraints; quadratic programming; simplex method; interior point method; portfolio planning; factor model (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2250075 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:pal:assmgt:v:8:y:2007:i:3:d:10.1057_palgrave.jam.2250075

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2250075

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().