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

Voir la notice de l'article provenant de la source Math-Net.Ru

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 
@article{MM_2011_23_9_a8,
     author = {V. A. Babaitsev and A. V. Brailov and V. Yu. Popov},
     title = {Fast {Markowitz{\textquoteright}s} critical line algorithm},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {120--134},
     publisher = {mathdoc},
     volume = {23},
     number = {9},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2011_23_9_a8/}
}
TY  - JOUR
AU  - V. A. Babaitsev
AU  - A. V. Brailov
AU  - V. Yu. Popov
TI  - Fast Markowitz’s critical line algorithm
JO  - Matematičeskoe modelirovanie
PY  - 2011
SP  - 120
EP  - 134
VL  - 23
IS  - 9
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MM_2011_23_9_a8/
LA  - ru
ID  - MM_2011_23_9_a8
ER  - 
%0 Journal Article
%A V. A. Babaitsev
%A A. V. Brailov
%A V. Yu. Popov
%T Fast Markowitz’s critical line algorithm
%J Matematičeskoe modelirovanie
%D 2011
%P 120-134
%V 23
%N 9
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MM_2011_23_9_a8/
%G ru
%F MM_2011_23_9_a8
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/