Research Article
On the Computation of the Efficient Frontier of the Portfolio Selection Problem
Table 1
Comparison between the -constraint and the MPQ method (taken from [8]). The first column contains the number of assets, the second one the average CPU-time in seconds for the -constraint method calculating a 20-point sample of the efficient frontier (the numbers in italics being estimates), and the third one contains the average CPU-time of the MPQ method calculating the exact efficient frontier.
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