Authors

R. P. Byron

Date of this Version

June 1992

Document Type

Discussion Paper

Publication Details

R. P. Byron (1992) Computationally Efficient Portfolio Analysis

School of Business Discussion Paper ; No. 31, Jun. 1992

© Copyright R. P. Byron and the School of Business, Bond University

Abstract

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.

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