Discrete portfolio optimisation for large scale systematic trading applications

• Published in: 2012 5th International Conference on Biomedical Engineering and Informatics pp. 1566 - 1570
• Main Authors: Raudys, Aistis, Pabarskaite, Zidrina
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.10.2012
• Subjects: algorithmic trading; automated trading systems; comgen; covariance matrix; forward selection; heuristic; large scale; Markowitz; mean variance optimisation; portfolio construction; portfolio optimisation; systematic trading

Markowitz's mean-variance portfolio optimisation is not suitable for a large number of assets due to the unacceptably slow quadratic optimisation procedure involved. This is particularly important in systematic/algorithmic/automated trading applications where instead of assets, automated tradin...