An interior point algorithm for large scale portfolio optimization

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

The minimum-norm point problem which arises in portfolio selections is discussed and an interior point algorithm to solve the problem is proposed in this paper. Three kinds of problems, the mean-variance, the index matching and the multiple factor models are viewed as variants of the minimum-norm point problem. Results of the computational experiments are attached to show the proposed algorithm as a very powerful tool for large scale portfolio optimization.

Original languageEnglish
Pages (from-to)373-386
Number of pages14
JournalAnnals of Operations Research
Volume45
Issue number1
DOIs
Publication statusPublished - 1993 Dec
Externally publishedYes

Keywords

  • Interior point algorithm
  • mean-variance model
  • minimum-norm point problem
  • multiple factor model

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Management Science and Operations Research

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