Projection Onto Convex Sets Approach to Solve Homogeneous Self Dual Model of Portfolio Optimization

Subchan Subchan*, Makoto Yamashita, Alvian Alif Hidayatullah, Sena Safarina, Mahmud Yunus

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

A portfolio optimization problem is a convex optimization problem that involves a linear objective function with quadratic constraints. One method for solving portfolio optimization problems is to convert the QCLP (quadratically constrained linear programming) model into a homogeneous self-dual (HSD) model. The homogeneous self-dual (HSD) model is a combination of primal and dual problems from conic programming and is based on determining a point from the intersection of two convex sets, a convex cone and a subspace. The projection onto convex sets (POCS) and averaged projection can be employed to determine the solution of the HSD model. In this paper, POCS is applied to solve QCLP on portfolio optimization. The resulting solution is the convergence value of the sequence constructed in the POCS method. From the sequence constructed in the POCS methods, we can see whether the QCLP problem in portfolio optimization has a solution or not.

Original languageEnglish
Title of host publication2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages667-672
Number of pages6
ISBN (Electronic)9798350309225
DOIs
Publication statusPublished - 2023
Event2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023 - Lombok, Indonesia
Duration: 14 Nov 202315 Nov 2023

Publication series

Name2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023 - Proceedings

Conference

Conference2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023
Country/TerritoryIndonesia
CityLombok
Period14/11/2315/11/23

Keywords

  • Portfolio optimization
  • homogeneous self-dual
  • projection onto convex sets
  • quadratically constrained linear programming

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