Using linear programming to seek the optimum combination of investment

摘要

The use of quantitative analysis for portfolio optimization dates back to Markowitz [1]. In a recent paper Zheng and Ping [2] suggested an iterative procedure for solving this problem. Unfortunately, the computational efficiency and even convergence of their algorithm are unknown. For large problems a more efficient algorithm is desirable. I suggest using linear programming to solve this problem. Linear programming has polynomial computational complexity and has been used to solve many real optimization problems.