An LMIs Method for the Mean-Variance Model of Portfolio Selection

In this paper, a linear matrix inequalities (LMIs) method for the mean-variance model of portfolio selection is studied Two kinds of optimal models for determining the portfolio selections are analyzed. By applying the portfolio theory, these models are transformed to equivalent models respectively, in which the objects and constraints are expressed by quadratic functions. And then, by applying the S-procedure, corresponding optimal models based on LMIs are established respectively. From this, the methods for determining the optimal solutions of these portfolio models are given. Finally, an illustration example is given to show their application.