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Shucheng Liu

Research and Insights

Articles by Shucheng Liu

    Using Lagrangian Relaxation to Obtain Small Portfolios

    Research Report | Jun 1, 2008 | Leonid Kopman, Shucheng Liu, Dong Shaw

    Investors with small portfolios, or a limited number of securities in their portfolios, may benefit from a new portfolio optimization method. Placing a limit on the number of assets in a portfolio turns the ordinary mean variance portfolio optimization problem into a challenging puzzle, especially for larger investment universes. In response, practitioners typically employ either enumerative methods, such as branch-and-bound based on quadratic programming relaxation, or heuristic methods....