A Parametric Algorithm for Long-Short Portfolio Optimization

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First International Workshop on Knowledge Discovery and Data Mining (WKDD 2008)

Adelaide, Australia

January 23-January 24

ISBN: 0-7695-3090-7

	ASCII Text	x
	Yanwu Liu, Zhongzhen Zhang, Feng Xiong, Liu Fang, "A Parametric Algorithm for Long-Short Portfolio Optimization," International Workshop on Knowledge Discovery and Data Mining, pp. 279-282, First International Workshop on Knowledge Discovery and Data Mining (WKDD 2008), 2008.

	BibTex	x
	@article{ 10.1109/WKDD.2008.97, author = {Yanwu Liu and Zhongzhen Zhang and Feng Xiong and Liu Fang}, title = {A Parametric Algorithm for Long-Short Portfolio Optimization}, journal ={International Workshop on Knowledge Discovery and Data Mining}, volume = {0}, year = {2008}, isbn = {0-7695-3090-7}, pages = {279-282}, doi = {http://doi.ieeecomputersociety.org/10.1109/WKDD.2008.97}, publisher = {IEEE Computer Society}, address = {Los Alamitos, CA, USA}, }

	RefWorks Procite/RefMan/Endnote	x
	TY - CONF JO - International Workshop on Knowledge Discovery and Data Mining TI - A Parametric Algorithm for Long-Short Portfolio Optimization SN - 0-7695-3090-7 SP279 EP282 A1 - Yanwu Liu, A1 - Zhongzhen Zhang, A1 - Feng Xiong, A1 - Liu Fang, PY - 2008 VL - 0 JA - International Workshop on Knowledge Discovery and Data Mining ER -

DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/WKDD.2008.97

A parametric algorithm is proposed to calculate efficient frontier of long-short portfolio.The key to the algorithm is to introduce parametric technique into the pivoting algorithm. The numerical results show that the algorithm has high computing efficiency. Keywords long-short portfolio; pivoting algorithm; parametric technique

Citation:

Yanwu Liu, Zhongzhen Zhang, Feng Xiong, Liu Fang, "A Parametric Algorithm for Long-Short Portfolio Optimization," wkdd, pp.279-282, First International Workshop on Knowledge Discovery and Data Mining (WKDD 2008), 2008

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