Hostname: page-component-76fb5796d-zzh7m Total loading time: 0 Render date: 2024-04-28T23:53:30.851Z Has data issue: false hasContentIssue false
  • English
  • Français

A Simple Algorithm for Stone's Version of the Portfolio Selection Problem

Published online by Cambridge University Press:  19 October 2009

James V. Jucker  and
Clovis de Faro
Get access Rights & Permissions [Opens in a new window]

Extract

More than twenty years ago the portfolio selection problem was stated as a parametric quadratic programming problem [3]. Since that time there has been an ongoing search for methods that would allow reductions in both the data and the computational effort required to implement the Markowitz formulation. Markowitz himself developed a special algorithm for the problem [4] Sharpe followed with his famous diagonal model [6], a linear programming approximation for the special case of mutual funds [7], and a linear programming approximation for the general problem [0]. And during this period there were substantial advances in quadratic programming computer codes. A very fast code is now widely available [1], but the size of the code itself (a listing of the annotated program runs to more than 3,000 lines) makes its everyday use for portfolio selection somewhat unattractive.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 5 , December 1975 , pp. 859 - 870
Copyright
Copyright © School of Business Administration, University of Washington 1975

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Cutler, L., and Pass, D. S.. “A Computer Program for Quadratic Mathematical Models to be Used for Aircraft Design and Other Applications Involving Linear Constraints.” Rand Report R-516-PR. Santa Monica: Rand Corp. (June 1971).Google Scholar
[2]Gue, R. L., and Thomas, M. E.. Mathematical Methods in Operations Research. New York: Macmillan Co. (1968).Google Scholar
[3]Markowitz, Harry. “Portfolio Selection.” Journal of Finance (March 1952).Google Scholar
[4]Markowitz, Harry. “The Optimization of a Quadratic Function Subject to Linear Constraints.” Naval Research Logistics Quarterly (March–June 1956).CrossRefGoogle Scholar
[5]Markowitz, Harry.Portfolio Selection: The Efficient Diversification of Investments. New York: John Wiley and Sons, Inc. (1959).Google Scholar
[6]Sharpe, William F. “A Simplified Model for Portfolio Analysis.” Management Science (January 1963).CrossRefGoogle Scholar
[7]Sharpe, William F. “A Linear Programming Algorithm for Mutual Fund Portfolio Selection.” Management Science (March 1967).CrossRefGoogle Scholar
[8]Sharpe, William F. “A Linear Programming Approximation for the General Portfolio Analysis Problem.” Journal of Financial and Quantitative Analysis (December 1971).CrossRefGoogle Scholar
[9]Stone, B. K. “A Linear Programming Formulation of the General Portfolio Selection Problem.” Journal of Financial and Quantitative Analysis (September 1973).CrossRefGoogle Scholar