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A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem

Xiao, Zhifu
http://orcid.org/0000-0002-1151-0087
http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1463008420

Abstract Details

2016, BA, Oberlin College, Mathematics.
In this paper, I give a brief introduction of the general optimization problem as well as the convex optimization problem. The portfolio selection problem, as a typical type of convex optimization problem, can be easily solved in polynomial time. However, when the number of available stocks in the portfolio becomes large, there might be a significant difference in the running time of different polynomial-time solving methods. In this paper, I perform a comparative analysis of two different solving methods and discuss the characteristics and differences.
Robert Bosch (Advisor)
20 p.
Applied Mathematics; Industrial Engineering; Mathematics; Operations Research
optimization; interior-point method; portfolio optimization; convex optimization; sequential quadratic programming;

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Citations

  • Xiao, Z. (2016). A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem [Undergraduate thesis, Oberlin College]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1463008420

    APA Style (7th edition)

  • Xiao, Zhifu. A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem. 2016. Oberlin College, Undergraduate thesis. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1463008420.

    MLA Style (8th edition)

  • Xiao, Zhifu. "A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem." Undergraduate thesis, Oberlin College, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1463008420

    Chicago Manual of Style (17th edition)

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This open access ETD is published by Oberlin College Honors Theses and OhioLINK.