Portfolio Optimization

Portfolio Optimization

Volumn , Issue , 2010, Pages 1-222

  Best, Michael J ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85054667482     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1201/b17178     Document Type: Book

References (26)

1. Arseneau, Lise and Best, Michael J., “Resolution of degenerate critical parameter values in parametric quadratic programming,” Department of Combinatorics and Optimization Research Report CORR 99−47, University of Waterloo, Canada, 1999.
2. Best, Michael J., “Equivalence of some quadratic programming algorithms,” Mathematical Programming 30, 1984, 71−87.
3. Best, Michael J., and Hlouskova, Jaroslava, “Quadratic programming with transaction costs,” Computers and Operations Research (Special Issue: Applications of OR in Finance), Vol 35, No. 1, 18−33, 2008.
4. Best, Michael J., and Hlouskova, Jaroslava, “An Algorithm for Portfolio Optimization with Variable Transaction Costs I: Theory,” Journal of Optimization Theory and Applications, Vol. 135, No. 3, 2007, 563−581.
5. Best, Michael J., and Hlouskova, Jaroslava, “An Algorithm for Portfolio Optimization with Variable Transaction Costs II: Computational Analysis,” Journal of Optimization Theory and Applications, Vol. 135, No. 3, 2007, 531−547.
6. Best, Michael J., and Hlouskova, Jaroslava, “Portfolio selection and transactions costs,” Computational Optimization and Applications, 24 (2003) 1, 95−116.
7. Best, Michael J., and Hlouskova, Jaroslava, “The efficient frontier for bounded assets,” Mathematical Methods of Operations Research, 52 (2000) 2, 195−212.
8. Best, Michael J., “An algorithm for the solution of the parametric quadratic programming algorithm,” in Applied Mathematics and Parallel Computing − Festschrift for Klaus Ritter, H. Fischer, B. Riedmüller and S. Schäffler (editors), Heidelburg: Physica-−Verlag, 1996, 57−76.
9. Best, Michael J., and Hlouskova, Jaroslava, “An algorithm for portfolio optimization with transaction costs,” Management Science, Vol 51, No. 11, November 2005, 1676−1688.
10. Best, Michael J. and Grauer, Robert R., “Positively weighted minimum-variance portfolios and the structure of asset expected returns,” Journal of Financial and Quantitative Analysis, Vol. 27, No. 4 (1992) 513−537.
11. Best, Michael J., and Grauer, Robert R., “On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results,” The Review of Financial Studies, Vol. 4, No. 2 (1991) 315−342.
12. Best, Michael J., and Grauer, Robert R., “Sensitivity analysis for mean-variance portfolio problems,” Management Science, Vol. 37, No. 8 (1991) 980−989.
13. Best, Michael J. and Grauer, Robert R., “The efficient set mathematics when the mean variance problem is subject to general linear constraints,” Journal of Economics and Business, 42 (1990) 105−120.
14. Best, Michael J. and Grauer, Robert R., “Capital asset pricing compatible with observed market weights,” Journal of Finance, Vol. XL, No. 1 (1985) 85−103.
15. Best, Michael J., and Grauer, Robert R., “The analytics of sensitivity analysis for mean variance portfolio problems,” International Review of Financial Analysis, Vol. 1, No. 1 (1991) 17−37.
16. Best, Michael J. and Kale, J., “Quadratic programming for large-scale portfolio optimization,” in Financial Services Information Systems. (2000)
17. Best, Michael J., and Ritter, Klaus, Linear Programming: Active Set Analysis and Computer Programs, Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 07362.
18. Mangasarian, O. L., Nonlinear Programming, McGraw-Hill, New York, 1969.
19. Markowitz, Harry M., Portfolio Selection: Efficient Diversification of Investments, Coyles Foundation Monograph, Yale University Press, New Haven and London, 1959. This has been more recently reprinted as, Markowitz, Harry M., Portfolio Selection, Blackwell Publishers Inc., Oxford, UK, 1991.
20. Noble, Ben, Applied Linear Algebra, Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1969.
21. Perold, Andre F., “Large-scale portfolio optimization,” Management Science 30 No. 10 1984 1143−1160.
22. Sharpe, William F., Portfolio Theory and Capital Markets, McGraw-Hill, 1970.
23. Sherman, J. and Morrison, W. J., “Adjustment of an inverse matric corresponding to changes in the elements of a given column or a given row of the original matrix,” Ann. of Mathematical Statistics, 20 1949 621.
24. van de Panne, C. and Whinston, A., “The symmetric formulation of the simplex method for quadratic programming,” Econometrica 37 1969 507−527.
25. Woodbury, M., “Inverting modified matrices,” Memorandum Report 42, Statistical Research Group, Princeton University, New Jersey (1950).
26. Wang, Xianzhi, “Resolution of Ties in Parametric Quadratic Programming,” Masters Thesis, Department of Combinatorics and Optimization, University of Waterloo, Waterloo, Ontario, Canada, 2004.