The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown...

Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will in this paper empirically investigate how...

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...

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown...

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...