Lifting the Simplification Prerequisites for Large Scale Portfolio Optimization and Implications to Portfolio Management in China

摘要：

In this paper,we study for large scale portfolio optimization the simplification prerequisites which date back to 1950s when Markowitz began the portfolio selection revolution but computers with hardly any memory for the computational burden of large scale portfolio optimization were falling far behind the job.Nowadays,with the computational advancements and powerful and affordable computers,we propose to lift the prerequisites.Moreover,not only can we check the simplification effectiveness for the first time,but also utilize in full throttle the achievements for large scale portfolio optimization for the portfolio management in China,with the hope and cherish to better the capital markets.

关键词： Portfolio optimization large scale efficient hyperbolic segments corner portfolios mean-absolute deviation models

作者: Yue Qi Xiaofeng Peng Yuanyuan Wang

作者单位: Key Research Basement of Chinese Ministry of Education,Center of Corporate Governance & Department o School of Business,Washburn University,USA

会议类型: 国际会议

会议名称: 2009 International Conference on Information,Electronic and Computer Science(2009 国际信息、电子与计算机工程学术会议)

会议地点: 青岛

会议语种:英文

页码: 79-82

在线出版日期: 2009-11-21（万方平台首次上网日期，不代表论文的发表时间）