Niedermayer, Andras; Niedermayer, Daniel (March 2006). Applying Markowitz’s Critical Line Algorithm (Discussion Papers 06-02). Bern: Department of Economics
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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.
Item Type: |
Working Paper |
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Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Niedermayer, Daniel |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
Series: |
Discussion Papers |
Publisher: |
Department of Economics |
Language: |
English |
Submitter: |
Lars Tschannen |
Date Deposited: |
02 Oct 2020 07:52 |
Last Modified: |
10 May 2023 02:58 |
JEL Classification: |
C15, C61, C63, G11 |
BORIS DOI: |
10.7892/boris.145685 |
URI: |
https://boris.unibe.ch/id/eprint/145685 |
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