On the portfolio model coefficients employing the quadratic programming
HE Chao-lin · 2001
The portfolio coefficients are discussed and help to decide it is a quadratic programming problem. Then,we uses the kuhn－ tucker condition to transfer the quadratic programming problem into a simple linear problem, on the condition that the covariance matrix of the securities inside portfolio is positive－ definite and the constraints are linear. The simple linear problem being mutually complementary, it can be used for the solving process of the Lemke's Piloting Algorithm. At last, an example is given to make the whole process clear. All these provide scientific evidences and algorithms to the optimum porfolio investment.