Title :
A Parametric Algorithm for Long-Short Portfolio Optimization
Author :
Liu, Yanwu ; Zhang, Zhongzhen ; Xiong, Feng ; Fang, Liu
Author_Institution :
Wuhan Univ. of Technol., Wuhan
Abstract :
A parametric algorithm is proposed to calculate efficient frontier of long-short portfolio. The key to the algorithm is to introduce parametric technique into the pivoting algorithm. The numerical results show that the algorithm has high computing efficiency.
Keywords :
optimisation; purchasing; sales management; stock markets; long-short portfolio optimization; parametric algorithm; purchasing; short sales; stocks; Constraint optimization; Data mining; Design optimization; Jacobian matrices; Knowledge management; Lagrangian functions; Marketing and sales; Portfolios; Sufficient conditions; Technology management;
Conference_Titel :
Knowledge Discovery and Data Mining, 2008. WKDD 2008. First International Workshop on
Conference_Location :
Adelaide, SA
Print_ISBN :
978-0-7695-3090-1
DOI :
10.1109/WKDD.2008.97
