Minimum norm solution of the Markowitz mean-variance portfolio optimization model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419316" target="_blank" >RIV/00216208:11320/20:10419316 - isvavai.cz</a>
Result on the web
<a href="https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf" target="_blank" >https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Minimum norm solution of the Markowitz mean-variance portfolio optimization model
Original language description
In finance, Markowitz' model, which is a portfolio optimization model, assists in the selection of the most efficient portfolio by analyzing various possible portfolios of the given securities. This model was considered in many different aspects by researchers. In this paper, we study an extended version of the classical Markowitz' mean-variance portfolio optimization model when this problem has multiple solutions. In this case the natural and in some sense the best choice is finding the solution with minimum norm. We focus on this problem and find the minimum-norm solution of the extended Markowitz's model. To achieve this goal, we characterize the solution set of the model, and by using a standard method and an augmented Lagrangian method we obtain the minimum norm solution of the mentioned problem. The numerical results show that the proposed method is efficient and works well even for large scale problems.
Czech name
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Czech description
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Project
<a href="/en/project/GA18-04735S" target="_blank" >GA18-04735S: Novel approaches for relaxation and approximation techniques in deterministic global optimization</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
38th International Conference on Mathematical Methods in Economics 2020 (MME 2020). Conference Proceedings
ISBN
978-80-7509-734-7
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
383-388
Publisher name
Mendel University in Brno
Place of publication
Brno
Event location
Brno
Event date
Sep 9, 2020
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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