Quadratic programming for large-scale portfolio optimization

Financial Services Information Systems

Volumn , Issue , 2000, Pages 513-530

  Best, Michael J ^a   Kale, Jivendra K ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b GOLDEN GATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 73849145502     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1201/9780203997611     Document Type: Chapter

References (16)

1. Beale, E.M.L., On minimizing a convex function subject to linear inequalities, J. R. Stat. Soc. (B), 17, 173, 1955.
2. Beale, E.M.L., On quadratic programming, Nav. Res. Log. Q., 6, 227, 1959.
3. Best, M.J., Equivalence of some quadratic programming algorithms, Math. Prog., 30, 71, 1984.
4. Best, M.J. and Grauer, R.R., The analytics of sensitivity analysis for mean-variance portfolio problems, Int. Rev. Fin. Anal., 1(1), 17, 1992.
5. Best, M.J. and Ritter, K., Linear Programming: Active Set Analysis and Computer Programs, Prentice- Hall, Englewood Cliffs, NJ 1985.
6. Best, M.J. and Ritter, K., An effective algorithm for quadratic minimization problems, Z. Op. Res., 32(5), 271, 1988.
7. Fletcher, R., A general quadratic programming algorithm, J. Inst. Math. Applic. 7, 76, 1971.
8. Gill, P.E. and Murray W., Numerically stable methods for quadratic programming, Math. Prog., 14, 349, 1978.
9. Lemke, C.E., On complementary pivot theory, in Mathematics of the Decision Sciences, Part 1, Dantzig, G.B. and Veinott, A.F., Jr., Eds., American Mathematical Society, 1968, 95-114.
10. Loeb, T.F., Trading cost: the critical link between investment information and results, Fin. Anal. J., 39(3), 39, 1983.
11. Markowitz, H., Portfolio selection, J. Fin., 77, March 1952.
12. Markowitz, H., The optimization of a quadratic function subject to linear constraints, Nav. Res. Log. Q., 3, 111, 1956.
13. van de Panne, C. and Whinston A., The symmetric formulation of the simplex method for quadratic programming, Econometrica, 37, 507, 1969.
14. Perold, A. F., Large-scale portfolio optimization, Manage. Sci., 30(10), 1143, 1984.
15. Sinquefield, R.A., Value and Size Factors in Balanced Portfolios, Ibbotson Associates’ 1995 Institutional Software and Data User Conference.
16. Wolfe, P., The simplex method for quadratic programming, Econometrica, 27, 382, 1959.