Some New and Efficient Algorithms for Portfolio Analysis.

Abstract

This paper first describes a modified version of the parametric principal pivoting algorithm for the class of parametric linear complementarity problems with P-matrices. The modified version of the parametric principal pivoting algoritm is then used to develop a new and efficient algorithm to solve the class of portfolio analysis problems with positive definite (or equivalently, nonsingular) covariance matrices. Extension of the new algorithm to hanlde explicit upper-bounds is also established. The new algorithm and its extension are then specialized to the index models. In these specializations, the algorithms are particularly effective, achieving dramatic savings in both storage and computations. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1977
Accession Number
ADA043412

Entities

People

  • Jong-shi Pang

Organizations

  • University of Wisconsin–Madison

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  • Counter IED

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  • Algorithms
  • Computational Complexity
  • Computations
  • Computer Programming
  • Computer Programs
  • Covariance
  • Evolutionary Algorithms
  • Industrial Engineering
  • Linear Programming
  • Mathematical Programming
  • Mathematics
  • Numerical Analysis
  • Operations Research
  • Quadratic Programming
  • Simplex Method
  • Systems Engineering
  • United States

Fields of Study

  • Mathematics

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  • Linear Algebra