A Parametric Algorithm for Long-Short Portfolio Optimization

First International Workshop on Knowledge Discovery and Data Mining (WKDD 2008) Pub Date : 2008-01-23 DOI:10.1109/WKDD.2008.97

Yanwu Liu, Zhongzhen Zhang, Feng Xiong, Liu Fang

引用次数: 0

Abstract

A parametric algorithm is proposed to calculate efficient frontier of long-short portfolio. The key to the algorithm is to introduce parametric technique into the pivoting algorithm. The numerical results show that the algorithm has high computing efficiency.

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多空组合优化的参数化算法

提出了一种计算多空组合有效边界的参数化算法。该算法的关键是将参数化技术引入到旋转算法中。数值结果表明，该算法具有较高的计算效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

First International Workshop on Knowledge Discovery and Data Mining (WKDD 2008)

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