On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results
AbstractPortfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the classical Markowitz mean-variance model we present computational results, applying a dual algorithm for constrained optimization. Citation Copyright 1994 by Kluwer Academic Publishers.
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 7 (1994)
Issue (Month): 4 ()
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