Quadratic programming for portfolio optimization

✍ Scribed by Ho, Diem

• Publisher: John Wiley and Sons
• Year: 1992
• Tongue: English
• Weight: 337 KB
• Volume: 8
• Category: Article
• ISSN: 8755-0024
• DOI: 10.1002/asm.3150080308

✦ Synopsis

Portfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efticient optimization procedure taking advantage of the special structure of the portfolio selection problem. An example of its application to the traditional mean-variance method will be shown. Formulation o f the procedure shows that the solution of the problem is vector intensive and fits well with the advanced architecture of recent computers, namely the vector processor.