ISYE SEMINAR SERIES-APPLICATIONS OF SYMMETRIC CONE PROGRAMMING IN PORTFOLIO OPTIMIZATION

Event Details
  • Date/Time:
    • Thursday November 8, 2001 - Wednesday November 7, 2001
      10:00 am - 11:00 pm
  • Location: IC 213
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISYE SEMINAR SERIES-APPLICATIONS OF SYMMETRIC CONE PROGRAMMING IN PORTFOLIO OPTIMIZATION

Full Summary: ISYE SEMINAR SERIES-APPLICATIONS OF SYMMETRIC CONE PROGRAMMING IN PORTFOLIO OPTIMIZATION

Since Markowitz' seminal formulation of the portfolio optimization
problem as a quadratic programming problem, asset managers have extend the formulation to include business rules and make to the model more realistic. We will discuss some of these extensions and show that they can be formulated as (mixed-integer) symmetric cone programming problems. Such problems can be efficiently solved with interior-point algorithms which have been developed in recent years.

Additional Information

In Campus Calendar
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School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm