Multiportfolio optimization: a natural next step

Title: Multiportfolio optimization: a natural next step
Creator: Savelsbergh, Martin W. P.; Stubbs, Robert A.; Vandenbussche, Dieter
Relation: Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques p. 565-581
Publisher Link: http://dx.doi.org/10.1007/978-0-387-77439-8_21
Publisher: Springer
Resource Type: book chapter
Date: 2010
Description: Mean–variance optimization of a single portfolio, as introduced by Markowitz, is well studied and well understood. Its influence can be found in many branches of the quantitative finance community. Advances in mathematical programming techniques have not only allowed for the fast and reliable solution of large-scale mean–variance optimization problems, but have also allowed for the incorporation of many relevant business considerations, such as limits on the number of names, threshold position levels, and even long/short ratios. As a result, several commercial software vendors now provide asset management solutions based on mean–variance optimization.
Subject: mean-variance optimization; quantitative finance; financial economics; asset management
Identifier: http://hdl.handle.net/1959.13/938656
Identifier: uon:12649
Identifier: ISBN:9780387774381
Language: eng

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