Publicação
Quadratic programming versus second order con programming in portfolio optimization
| Resumo: | Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies. |
|---|---|
| Autores principais: | Talina, Bernardo Júdice Franqueira Cotrim |
| Assunto: | Portfolio optimization Second order cone programming Quadratic programming |
| Ano: | 2016 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868983524263985152 |
|---|---|
| author | Talina, Bernardo Júdice Franqueira Cotrim |
| author_facet | Talina, Bernardo Júdice Franqueira Cotrim |
| author_role | author |
| contributor_name_str_mv | Eça, Afonso Fuzeta RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Talina, Bernardo Júdice Franqueira Cotrim\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Eça, Afonso Fuzeta RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Talina, Bernardo Júdice Franqueira Cotrim |
| datacite.date.Accepted.fl_str_mv | 2016-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2016-03-15T15:58:43Z |
| datacite.date.embargoed.fl_str_mv | 2016-03-15T15:58:43Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Portfolio optimization Second order cone programming Quadratic programming |
| datacite.titles.title.fl_str_mv | Quadratic programming versus second order con programming in portfolio optimization |
| dc.contributor.none.fl_str_mv | Eça, Afonso Fuzeta RUN |
| dc.creator.none.fl_str_mv | Talina, Bernardo Júdice Franqueira Cotrim |
| dc.date.Accepted.fl_str_mv | 2016-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2016-03-15T15:58:43Z |
| dc.date.embargoed.fl_str_mv | 2016-03-15T15:58:43Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/16803 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Portfolio optimization Second order cone programming Quadratic programming |
| dc.title.fl_str_mv | Quadratic programming versus second order con programming in portfolio optimization |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/b0ae34fc-0263-40f6-87cb-7f99b8f1ab0d/download |
| id | run_5ce2e1e04ed0276c8cd626bc2e53194e |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/16803 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/16803 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Talina, Bernardo Júdice Franqueira Cotrim |
| publishDate | 2016 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTDespite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.application/pdfpt_PTQuadratic programming versus second order con programming in portfolio optimizationTalina, Bernardo Júdice Franqueira CotrimEça, Afonso FuzetaHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2015235582016-03-15T15:58:43Z2016-012016-01-01T00:00:00ZHandlehttp://hdl.handle.net/10362/16803http://purl.org/coar/access_right/c_abf2open accessPortfolio optimizationSecond order cone programmingQuadratic programming998242 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/b0ae34fc-0263-40f6-87cb-7f99b8f1ab0d/download |
| spellingShingle | Quadratic programming versus second order con programming in portfolio optimization Talina, Bernardo Júdice Franqueira Cotrim Portfolio optimization Second order cone programming Quadratic programming |
| status | SINGLETON |
| subject.fl_str_mv | Portfolio optimization Second order cone programming Quadratic programming |
| title | Quadratic programming versus second order con programming in portfolio optimization |
| title_full | Quadratic programming versus second order con programming in portfolio optimization |
| title_fullStr | Quadratic programming versus second order con programming in portfolio optimization |
| title_full_unstemmed | Quadratic programming versus second order con programming in portfolio optimization |
| title_short | Quadratic programming versus second order con programming in portfolio optimization |
| title_sort | Quadratic programming versus second order con programming in portfolio optimization |
| topic | Portfolio optimization Second order cone programming Quadratic programming |
| topic_facet | Portfolio optimization Second order cone programming Quadratic programming |
| url | http://hdl.handle.net/10362/16803 |
| visible | 1 |