The application relates to the technical field of
computer data processing, and discloses a portfolio optimization method based on
matrix decomposition technology and related equipment; the method comprises the following steps: obtaining portfolio data from an external memory or a local memory; the portfolio data comprises asset names of all assets in a portfolio and historical price data of a preset time period; based on the portfolio data, the average yield of the portfolio and a
covariance matrix are calculated; the
covariance matrix is subjected to eigenvalue
decomposition to obtain a first matrix Q and a second matrix D; an auxiliary variable is constructed, a target function and a constraint condition are constructed based on the auxiliary variable; the target function and the constraint condition are input into an SQP
algorithm for solving to obtain a solution of the auxiliary variable; and the
weight distribution of each asset in the portfolio is calculated based on the solution of the auxiliary variable. The application can greatly improve the solving efficiency of the model, reduce the memory occupation, save the
computer data processing time, and reduce the computer
energy consumption.