抄録
This paper is concerned with the maximum probability model and the mean-variance model, which arise in portfolio selection problems. We consider optimality conditions for the both problems and discuss a relationship between these two problems. By using the relation, we propose a method which solves effectively the maximum probability model. Specifically, we apply the Goldfarb-Idnani method to some kind of parametric quadratic programming problem for solving a nonlinear equation which follows from the relation. Some numerical experiments are given to show the performance of our method.
