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2012 On the Computation of the Efficient Frontier of the Portfolio Selection Problem
Clara Calvo, Carlos Ivorra, Vicente Liern
J. Appl. Math. 2012: 1-25 (2012). DOI: 10.1155/2012/105616


An easy-to-use procedure is presented for improving the ε -constraint method for computing the efficient frontier of the portfolio selection problem endowed with additional cardinality and semicontinuous variable constraints. The proposed method provides not only a numerical plotting of the frontier but also an analytical description of it, including the explicit equations of the arcs of parabola it comprises and the change points between them. This information is useful for performing a sensitivity analysis as well as for providing additional criteria to the investor in order to select an efficient portfolio. Computational results are provided to test the efficiency of the algorithm and to illustrate its applications. The procedure has been implemented in Mathematica.


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Clara Calvo. Carlos Ivorra. Vicente Liern. "On the Computation of the Efficient Frontier of the Portfolio Selection Problem." J. Appl. Math. 2012 1 - 25, 2012.


Published: 2012
First available in Project Euclid: 2 January 2013

zbMATH: 1251.91069
MathSciNet: MR2984196
Digital Object Identifier: 10.1155/2012/105616

Rights: Copyright © 2012 Hindawi


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