TITLE:
An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model
AUTHORS:
Zhongzhen Zhang, Huayu Zhang
KEYWORDS:
Convex Quadratic Programming, Mean-Variance Portfolio Selection Model, Pivoting Algorithm
JOURNAL NAME:
Technology and Investment,
Vol.2 No.4,
November
4,
2011
ABSTRACT: This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.