Mean-Variance Portfolio Optimization

This project studies the classic mean-variance portfolio optimization problem introduced by Markowitz in 1952. We have developed solution methods for computationally challenging large scale instances and are now also studying the cardinality-constrained version of the problem.


The project was funded by the International Science Programme (ISP) at Uppsala University and was carried out in collaboration with Makerere University, Uganda. The following people were involved: PhD student Fred Mayambala (graduated 2017), Torbjörn Larsson (main supervisor), Elina Rönnberg (co-supervisor), Juma Kasozi, Department of Mathematics, Makerere University (co-supervisor).

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