Davidsson, Marcus - In: Journal of applied finance & banking 1 (2011) 2, pp. 173-187
This paper will discuss portfolio optimization, Quadratic Programming (QP) and Second Order Cone Programming (SOCP). We will use simulated and empirical data to compare the two optimization routines. Daily data for SP500 stocks from 2005 to 2010 was used to show that a 20-days rebalanced...