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.

Organisation

The project is funded by the International Science Programme (ISP) at Uppsala University and is carried out in collaboration with Makerere University, Uganda. The following people are involved: PhD student Fred Mayambala, Department of Mathematics, Linköping University, Professor Torbjörn Larsson, Division of Applied Mathematics (TIMA), Department of Mathematics, Linköping University (main supervisor), Senior lecturer Elina Rönnberg, Division of Applied Mathematics (TIMA), Department of Mathematics, Linköping University (assistant supervisor), Associate Professor Juma Kasozi, Department of Mathematics, Makerere University (assistant supervisor). 

PublicationsShow/Hide content

Fred Mayambala, Elina Rönnberg, Torbjörn Larsson (2016)

Operations Research Proceedings 2014 , s.385-392 Continue to DOI

Fred Mayambala, Elina Rönnberg, Torbjörn Larsson (2015)

Optimization, control, and applications in the information age , s.209-232 Continue to DOI

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