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Matematicheskoe modelirovanie, 2011, Volume 23, Number 9, Pages 120–134 (Mi mm3158)  

Fast Markowitz’s critical line algorithm

V. A. Babaitsev, A. V. Brailov, V. Yu. Popov

Financial University, Moscow
References:
Abstract: The mean-variance portfolio analysis pioneered by Nobel Prize winner H. Markowitz (1990) lies at the foundation of the modern portfolio theory. The method and the resulting set of efficient portfolios display notable robustness and continue to attract researchers. In recent years, Monte Carlo methods used for portfolio resampling to get statistically stable portfolios. These methods repeatedly employ quadratic optimization algorithms and, therefore, require a fast implementation of the mean variance optimizer.
Andras Niedermayer and Daniel Niedermayer have developed recently fast algorithm of the kind which significantly outperforms all known software packages. We apply Critical Line Algorithm to obtain algorithm faster than Niedermayers’variant at least two times. It needs more thoroughly investigation of Markowitz’s problem.
Keywords: portfolio selection, critical line method, minimal frontier, corner portfolios, corner points, quadratic optimization algorithms.
Received: 01.02.2011
English version:
Mathematical Models and Computer Simulations, 2012, Volume 4, Issue 2, Pages 241–250
DOI: https://doi.org/10.1134/S2070048212020020
Bibliographic databases:
Document Type: Article
UDC: 512.817 (075.8)
Language: Russian
Citation: V. A. Babaitsev, A. V. Brailov, V. Yu. Popov, “Fast Markowitz’s critical line algorithm”, Matem. Mod., 23:9 (2011), 120–134; Math. Models Comput. Simul., 4:2 (2012), 241–250
Citation in format AMSBIB
\Bibitem{BabBraPop11}
\by V.~A.~Babaitsev, A.~V.~Brailov, V.~Yu.~Popov
\paper Fast Markowitz’s critical line algorithm
\jour Matem. Mod.
\yr 2011
\vol 23
\issue 9
\pages 120--134
\mathnet{http://mi.mathnet.ru/mm3158}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2896219}
\transl
\jour Math. Models Comput. Simul.
\yr 2012
\vol 4
\issue 2
\pages 241--250
\crossref{https://doi.org/10.1134/S2070048212020020}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84928984006}
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