| Article ID: | iaor1994849 |
| Country: | Switzerland |
| Volume: | 45 |
| Issue: | 1/4 |
| Start Page Number: | 373 |
| End Page Number: | 386 |
| Publication Date: | Dec 1993 |
| Journal: | Annals of Operations Research |
| Authors: | Takehara Hitoshi |
| Keywords: | interior point methods |
The minimum-norm point problem which arises in portfolio selections is discussed and an interior point algorithm to solve the problem is proposed in this paper. Three kinds of problems, the mean-variance, the index matching and the multiple factor models are viewed as variants of the minimum-norm point problem. Results of the computational experiments are attached to show the proposed algorithm as a very powerful tool for large scale portfolio optimization.