Geodesic
Fast Markowitz’s critical line algorithm
Matematičeskoe modelirovanie, Tome 23 (2011) no. 9, pp. 120-134.

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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, corner portfolios, corner points, quadratic optimization algorithms.
Mots-clés : minimal frontier 
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V. A. Babaitsev; A. V. Brailov; V. Yu. Popov. Fast Markowitz’s critical line algorithm. Matematičeskoe modelirovanie, Tome 23 (2011) no. 9, pp. 120-134. http://geodesic.mathdoc.fr/item/MM_2011_23_9_a8/

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