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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.

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

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Thursday - Wednesday
Nov 8
2001
-
Nov 7
2001
10:00am - 11:00pm

Contact: Barbara ChristopherIndustrial and Systems EngineeringContact Barbara Christopher404.385.3102

In campus calendar: No

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School of Industrial and Systems Engineering (ISYE)

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  • Workflow Status: Published
  • Created By: Barbara Christopher
  • Created: 10/08/2010
  • Modified By: Fletcher Moore
  • Modified: 10/07/2016

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Seminar/Lecture/Colloquium

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