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On the use of optimization models for portfolio selection: A review and some computational results

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Abstract

Portfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the classical Markowitz mean-variance model we present computational results, applying a dual algorithm for constrained optimization.

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Authors and Affiliations

  1. Department of Industrial and Systems Engineering, University of Florida, 32611, Gainesville, FL, USA

    Panos M. Pardalos

  2. Department of Computer Science, Royal Institute of Technology (KTH), Stockholm, Sweden

    Mattias Sandström

  3. Department of Production Engineering and Management, Technical University of Crete, 73100, Chania, Crete, Greece

    Costas Zopounidis

Authors
  1. Panos M. Pardalos
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  2. Mattias Sandström
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  3. Costas Zopounidis
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Pardalos, P.M., Sandström, M. & Zopounidis, C. On the use of optimization models for portfolio selection: A review and some computational results. Comput Econ 7, 227–244 (1994). https://doi.org/10.1007/BF01299454

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  • DOI: https://doi.org/10.1007/BF01299454

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