A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES

Hiroshi Konno, Ken-ichi Suzuki
1992 Journal of the Operations Research Society of Japan  
A fast al/lorithm for solving large scale MV (mean-variance) portfolio optimization problems is proposed. It is shown that by using T independent dat.a representing the rate of return of the assets, the MV model consisting of n assets can be put into a quadratic program with n + T variables, T linear const.raints and T quadratic terms in the objective function. As a result, the computation t.ime required to solve this problem would increase very mildly as a function of n. This implies that a
more » ... s implies that a very large scale MY model can now be solved in a practical amount of time. 1. 93
doi:10.15807/jorsj.35.93 fatcat:lyfjmp4xjvctvmakl6btrm4fk4