Computationally efficient portfolio analysis
Byron, R. P. · e-publications@bond (Bond University) · 1992
Extract:A procedure is developed for handling large scale portfolio optimisation problems by combining the conjugate gradient and gradient projection methods, whilst allowing the conjugate gradient solution to venture into the infeasible region before it is wound back to the nearest face using gradient projection. The algorithm is extremely fast and can solve 400 security problems in as few as 5-6 iterations.