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