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Portfolio Optimization

The Markowitz model is used for portfolio optimization computations.

[45] Kelley, J. E., "The Cutting-Plane Method for Solving Convex Programs," Journal of the Society for Industrial and Applied Mathematics, Vol. 8, No. 4, December 1960, pp. 703-712.

[46] Markowitz, H., "Portfolio Selection," Journal of Finance, Vol. 7, No. 1, March 1952, pp. 77-91.

[47] Markowitz, H. M., Portfolio Selection: Efficient Diversification of Investments, John Wiley & Sons, Inc., 1959.

[48] Rockafellar, R. T. and S. Uryasev, "Optimization of Conditional Value-at-Risk," Journal of Risk, Vol. 2, No. 3, Spring 2000, pp. 21-41.

[49] Rockafellar, R. T. and S. Uryasev, "Conditional Value-at-Risk for General Loss Distributions," Journal of Banking and Finance, Vol. 26, 2002, pp. 1443-1471.

[50] Konno, H. and H. Yamazaki, "Mean-Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market," Management Science, Vol. 37, No. 5, May 1991, pp. 519-531.

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