Author ORCID Identifier

http://orcid.org/0000-0002-1151-0087

Degree Year

2016

Document Type

Thesis

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.

Included in

Mathematics Commons

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