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 language | English |
|---|---|
| Pages (from-to) | 373-386 |
| Number of pages | 14 |
| Journal | Annals of Operations Research |
| Volume | 45 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1993 Dec |
| Externally published | Yes |
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