• DocumentCode
    472454
  • Title

    A Parametric Algorithm for Long-Short Portfolio Optimization

  • Author

    Liu, Yanwu ; Zhang, Zhongzhen ; Xiong, Feng ; Fang, Liu

  • Author_Institution
    Wuhan Univ. of Technol., Wuhan
  • fYear
    2008
  • fDate
    23-24 Jan. 2008
  • Firstpage
    279
  • Lastpage
    282
  • Abstract
    A parametric algorithm is proposed to calculate efficient frontier of long-short portfolio. The key to the algorithm is to introduce parametric technique into the pivoting algorithm. The numerical results show that the algorithm has high computing efficiency.
  • Keywords
    optimisation; purchasing; sales management; stock markets; long-short portfolio optimization; parametric algorithm; purchasing; short sales; stocks; Constraint optimization; Data mining; Design optimization; Jacobian matrices; Knowledge management; Lagrangian functions; Marketing and sales; Portfolios; Sufficient conditions; Technology management;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Knowledge Discovery and Data Mining, 2008. WKDD 2008. First International Workshop on
  • Conference_Location
    Adelaide, SA
  • Print_ISBN
    978-0-7695-3090-1
  • Type

    conf

  • DOI
    10.1109/WKDD.2008.97
  • Filename
    4470394
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=472454