An interior point algorithm for large scale portfolio optimization

Hitoshi Takehara*

*この研究の対応する著者

研究成果: Article査読

9 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)373-386
ページ数14
ジャーナルAnnals of Operations Research
45
1
DOI
出版ステータスPublished - 1993 12
外部発表はい

ASJC Scopus subject areas

  • 決定科学(全般)
  • 経営科学およびオペレーションズ リサーチ

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