Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 70 , 08 January 2024
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Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market
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Abstract
This paper introduces an innovative approach by incorporating quadratic programming (QP) into the Markowitz portfolio optimization framework. The central objective of our study is to explore the integration of QP as a solution scheme for portfolio optimization problems with constraints, particularly in the context of the dynamic and complex Chinese real estate market.By meticulously formulating rigorous mathematical models and implementing systematic procedures, we empirically assess the effectiveness and applicability of QP within the Markowitz portfolio model. Our research contributes to a deeper understanding of portfolio optimization by shedding light on how QP can aid investors in optimizing their portfolios in the intricacies of the Chinese real estate market. We provide valuable advice for investors, enabling them to make more informed and efficient investment decisions, thereby reducing risk and maximizing returns. This study serves as a valuable reference for academics, practitioners, and policymakers seeking to navigate the challenging landscape of the Chinese real estate market.
Keywords
Markowitz mean-variance model, quadratic programming, Chinese real estate market, Portfolio analysis
References
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3. Deng, G. F. , Lin, W. T. , & Lo, C. C. . (2012). Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization. Expert Systems with Applications, 39(4), 4558-4566.
4. Czichowsky, C. , & Schweizer, M. . (2012). Cone-constrained continuous-time markowitz problems. The Annals of Applied Probability, 23(2), 764-810.
5. Li, X. , & Xu, Z. Q. . (2016). Continuous-time markowitz's model with constraints on wealth and portfolio. Operations Research Letters, 44(6), 729-736.
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7. Hu, S. , & Wang, Q. . (2022). A globally convergent method for solving a quartic generalized markowitz portfolio problem. Applied Numerical Mathematics: Transactions of IMACS, 179.
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-271-8
- ISBN (Online)
- 978-1-83558-272-5
- Published Date
- 08 January 2024
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/70/20231549
- Copyright
- 08 January 2024
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited