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On the Computation of the Efficient Frontier of the Portfolio Selection Problem
Joint Authors
Calvo, Clara
Ivorra, Carlos
Liern, Vicente
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-25, 25 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-04
Country of Publication
Egypt
No. of Pages
25
Main Subjects
Abstract EN
An easy-to-use procedure is presented for improving the ε-constraint method for computing the efficient frontier of the portfolio selection problem endowed with additional cardinality and semicontinuous variable constraints.
The proposed method provides not only a numerical plotting of the frontier but also an analytical description of it, including the explicit equations of the arcs of parabola it comprises and the change points between them.
This information is useful for performing a sensitivity analysis as well as for providing additional criteria to the investor in order to select an efficient portfolio.
Computational results are provided to test the efficiency of the algorithm and to illustrate its applications.
The procedure has been implemented in Mathematica.
American Psychological Association (APA)
Calvo, Clara& Ivorra, Carlos& Liern, Vicente. 2012. On the Computation of the Efficient Frontier of the Portfolio Selection Problem. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-25.
https://search.emarefa.net/detail/BIM-992952
Modern Language Association (MLA)
Calvo, Clara…[et al.]. On the Computation of the Efficient Frontier of the Portfolio Selection Problem. Journal of Applied Mathematics No. 2012 (2012), pp.1-25.
https://search.emarefa.net/detail/BIM-992952
American Medical Association (AMA)
Calvo, Clara& Ivorra, Carlos& Liern, Vicente. On the Computation of the Efficient Frontier of the Portfolio Selection Problem. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-25.
https://search.emarefa.net/detail/BIM-992952
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-992952