What is the time-complexity of Markowitz mean-variance portfolio optimization (MVO)?
I am unable to find any clear explanation of this on the internet and in academic papers.
These are my questions:
What is the time and space-complexity of a standard MVO algorithm? Please explain why.
Are there special cases that can be solved faster, such as the minimum-variance portfolio?
What is the typical runtime in seconds using various software packages to optimize a portfolio with e.g. 1000 assets on a typical computer?
Are there any faster portfolio algorithms available?
References to academic papers or other sources would also be appreciated.