An LMIs Method for the Mean-Variance Model of Portfolio Selection

Author

Zhao Shengmin ; Wu Wenchao ; Xia Liang

Author_Institution

Coll. of Econ., Nankai Univ., Tianjin, China

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

Abstract

In this paper, a linear matrix inequalities (LMIs) method for the mean-variance model of portfolio selection is studied Two kinds of optimal models for determining the portfolio selections are analyzed. By applying the portfolio theory, these models are transformed to equivalent models respectively, in which the objects and constraints are expressed by quadratic functions. And then, by applying the S-procedure, corresponding optimal models based on LMIs are established respectively. From this, the methods for determining the optimal solutions of these portfolio models are given. Finally, an illustration example is given to show their application.

Keywords

investment; linear matrix inequalities; quadratic programming; LMI method; S-procedure; equivalent model; investment; linear matrix inequality; mean-variance portfolio selection model; optimal model; quadratic function; Constraint theory; Covariance matrix; Educational institutions; Finance; Investments; Linear matrix inequalities; Portfolios; Printing; Security; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science, 2009. MASS '09. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4638-4

Electronic_ISBN

978-1-4244-4639-1

Type

conf

DOI

10.1109/ICMSS.2009.5302232

Filename

5302232