Pivoting Algorithm for Markowitz Portfolio Selection Model
Zhong Zhang · Wuhan University Journal · 2003
A pivoting\|based algorithm for the system of linear inequalities is proposed and used to solve Markowitz portfolio selection model. It requires about n 2 multiplications and additions for each iteration where n is the number of variables. The experiment by running a Delphi program on the microcomputer shows that only 314 iterations and 45 seconds are required to obtain 20 different optimal portfolios from 70 weekly data of 1 072 stocks of China.