On the Computation of the Efficient Frontier of the Portfolio Selection Problem

Table 2

CPU-times (in seconds per point) of the EC1 stage of the 𝜀-constraint method in the linear and semicontinuous case as a function of the number of assets. The results are mean values obtained by calculating ten 20-point samples corresponding to ten different sets of (real) data, except for the numbers in italics, which have been obtained by solving a single instance of a single problem (computations have been made with GAMS).

Number of assets	100	200	400	600	800	1000
Linear	0.24	0.96	13.27	61.30	172.3	388.2
SC	0.91	14.3	196	623