Applying Markowitz's Critical Line Algorithm
We provide a Matlab quadratic optimization tool based on Markowitz's citical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to compute the whole frontier whereas the quickest competitor needs several hours. This paper can be considered as a didactic alternative to the critical line algorithm such as presented by Markowitz and treats all steps required by the algorithm explicitly. Finally, we present a benchmark of different optimization algorithms' performance
|Date of creation:||Mar 2006|
|Contact details of provider:|| Postal: Schanzeneckstr. 1, PF 8573, CH-3001 Bern|
Phone: 0041 31 631 45 06
Fax: 41 31 631 37 83
Web page: http://www.vwi.unibe.ch/content/publikationen/index_eng.html
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
- Andras Niedermayer & Daniel Niedermayer, 2007.
"Applying Markowitz's Critical Line Algorithm,"
dp0701, Universitaet Bern, Departement Volkswirtschaft.
When requesting a correction, please mention this item's handle: RePEc:ube:dpvwib:dp0602. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Silvia Glusstein-Gerber)
If references are entirely missing, you can add them using this form.