Title :
Portfolio choice through convex optimization
Author :
Henrotte, Philippe ; Lebret, Hervé
Author_Institution :
Finance Dept., Groupe HEC, Jouy-en-Josas, France
Abstract :
Recent advances in convex analysis have produced efficient algorithms to solve convex constrained optimization problems. They can find important applications in finance and economics, where convexity is often theoretically justified. This paper considers as an example the portfolio selection problem and shows how the classical mean-variance analysis can be generalized
Keywords :
convex programming; economics; finance; statistical analysis; convex constrained optimization problems; economics; finance; generalization; mean-variance analysis; portfolio selection; Algorithm design and analysis; Constraint optimization; Finance; Lagrangian functions; Linear matrix inequalities; Microeconomics; Portfolios; Power generation economics; Symmetric matrices; Vectors;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1995.,Proceedings of the IEEE/IAFE 1995
Conference_Location :
New York, NY
Print_ISBN :
0-7803-2145-6
DOI :
10.1109/CIFER.1995.495267