On the Computation of the Efficient Frontier of the Portfolio Selection Problem
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/105616 |
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| _version_ | 1832551932995043328 |
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| author | Clara Calvo Carlos Ivorra Vicente Liern |
| author_facet | Clara Calvo Carlos Ivorra Vicente Liern |
| author_sort | Clara Calvo |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-1f1e9cbc7ff64087a59ac6f59b3ec85c |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-1f1e9cbc7ff64087a59ac6f59b3ec85c2025-02-03T06:00:02ZengWileyJournal of Applied Mathematics1110-757X1687-00422012-01-01201210.1155/2012/105616105616On the Computation of the Efficient Frontier of the Portfolio Selection ProblemClara Calvo0Carlos Ivorra1Vicente Liern2Departamento de Matemáticas para la Economía y la Empresa, Universidad de Valencia, P.O. Box 46022, Valencia, SpainDepartamento de Matemáticas para la Economía y la Empresa, Universidad de Valencia, P.O. Box 46022, Valencia, SpainDepartamento de Matemáticas para la Economía y la Empresa, Universidad de Valencia, P.O. Box 46022, Valencia, SpainAn 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.http://dx.doi.org/10.1155/2012/105616 |
| spellingShingle | Clara Calvo Carlos Ivorra Vicente Liern On the Computation of the Efficient Frontier of the Portfolio Selection Problem Journal of Applied Mathematics |
| title | On the Computation of the Efficient Frontier of the Portfolio Selection Problem |
| title_full | On the Computation of the Efficient Frontier of the Portfolio Selection Problem |
| title_fullStr | On the Computation of the Efficient Frontier of the Portfolio Selection Problem |
| title_full_unstemmed | On the Computation of the Efficient Frontier of the Portfolio Selection Problem |
| title_short | On the Computation of the Efficient Frontier of the Portfolio Selection Problem |
| title_sort | on the computation of the efficient frontier of the portfolio selection problem |
| url | http://dx.doi.org/10.1155/2012/105616 |
| work_keys_str_mv | AT claracalvo onthecomputationoftheefficientfrontieroftheportfolioselectionproblem AT carlosivorra onthecomputationoftheefficientfrontieroftheportfolioselectionproblem AT vicenteliern onthecomputationoftheefficientfrontieroftheportfolioselectionproblem |