Author ORCID Identifier
Degree Year
2016
Document Type
Thesis - Open Access
Degree Name
Bachelor of Arts
Department
Mathematics
Advisor(s)
Robert Bosch
Keywords
Optimization, Interior-point method, Portfolio optimization, Convex optimization, Sequential quadratic programming
Abstract
In this paper, I give a brief introduction of the general optimization problem as well as the convex optimization problem. The portfolio selection problem, as a typical type of convex optimization problem, can be easily solved in polynomial time. However, when the number of available stocks in the portfolio becomes large, there might be a significant difference in the running time of different polynomial-time solving methods. In this paper, I perform a comparative analysis of two different solving methods and discuss the characteristics and differences.
Repository Citation
Xiao, Zhifu, "A Comparative Analysis of an Interior-point Method and a Sequential Quadratic Programming Method for the Markowitz Portfolio Management Problem" (2016). Honors Papers. 248.
https://digitalcommons.oberlin.edu/honors/248
