Authors
Harry Markowitz, Peter Todd, Ganlin Xu, Yuji Yamane
Publication date
1993/12
Journal
Annals of operations research
Volume
45
Pages
307-317
Publisher
Baltzer Science Publishers, Baarn/Kluwer Academic Publishers
Description
The general mean-semivariance portfolio optimization problem seeks to determine the efficient frontier by solving a parametric non-quadratic programming problem. In this paper it is shown how to transform this problem into a general mean-variance optimization problem, hence the Critical Line Algorithm is applicable. This paper also discusses how to implement the critical line algorithm to save storage and reduce execution time.
Total citations
Scholar articles
H Markowitz, P Todd, G Xu, Y Yamane - Annals of operations research, 1993