nep-cmp New Economics Papers
on Computational Economics
Issue of 2007‒02‒03
one paper chosen by
Stan Miles
Thompson Rivers University

  1. Applying Markowitz's Critical Line Algorithm By Andras Niedermayer; Daniel Niedermayer

  1. By: Andras Niedermayer; Daniel Niedermayer
    Abstract: We provide a Matlab quadratic optimization tool based on Markowitz's critical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to compute the whole frontier whereas the quickest competitor needs several hours. This paper can be considered as a didactic alternative to the critical line algorithm such as presented by Markowitz and treats all steps required by the algorithm explicitly. Finally, we present a benchmark of different optimization algorithms' performance.
    Keywords: finance; portfolio selection; efficient frontier; critical line algorithm; quadratic optimization; numerical methods
    JEL: C15 C61 C63 G11
    Date: 2007–01
    URL: http://d.repec.org/n?u=RePEc:ube:dpvwib:dp0701&r=cmp

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