{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/portfolio-construction-as-linearly","title":"Portfolio Construction as Linearly Constrained Separable Optimization","arxiv_id":"2103.05455","date":"2021-03-09","proceeding":null,"authors":["Nicholas Moehle","Jack Gindi","Stephen Boyd","Mykel Kochenderfer"],"abstract":"Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems based on the alternating direction method of multipliers (ADMM). This method allows for solve times in tens to hundreds of milliseconds with around 1000 securities and 100 risk factors. We also obtain a bound on the achievable performance. Our heuristic and bound are both derived from similar results for other optimization problems with a separable objective and affine equality constraints. We discuss a concrete implementation in the case where the separable terms in the objective are piecewise quadratic, and we empirically demonstrate its effectiveness for tax-aware portfolio construction.","url_abs":"https://arxiv.org/abs/2103.05455v2","url_pdf":"https://arxiv.org/pdf/2103.05455v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"portfolio-construction-as-linearly","repo_url":"https://github.com/JuliaFirstOrder/PiecewiseQuadratics.jl","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"portfolio-construction-as-linearly","repo_url":"https://github.com/JuliaFirstOrder/SeparableOptimization.jl","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}