| 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 |