Applying Markowitz's Critical Line Algorithm
We provide a Matlab quadratic optimization tool based on Markowitz's critical 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:||Jan 2007|
|Date of revision:|
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- Andras Niedermayer & Daniel Niedermayer, 2007.
"Applying Markowitz's Critical Line Algorithm,"
dp0701, Universitaet Bern, Departement Volkswirtschaft.
- Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
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