Portfolio Optimization - Application Of Sharpe Model Using Lagrange
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References listed on IDEAS
- William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
- Marshall L. Fisher, 2004. "The Lagrangian Relaxation Method for Solving Integer Programming Problems," Management Science, INFORMS, vol. 50(12_supple), pages 1861-1871, December.
- Mark Rubinstein, 2002. "Markowitz's "Portfolio Selection": A Fifty-Year Retrospective," Journal of Finance, American Finance Association, vol. 57(3), pages 1041-1045, June.
- A Bilbao & M Arenas & M Jiménez & B Perez Gladish & M V Rodríguez, 2006. "An extension of Sharpe's single-index model: portfolio selection with expert betas," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(12), pages 1442-1451, December.
- Ledoit, Olivier & Wolf, Michael, 2003.
"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,"
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- Edwin J. Elton & Martin J. Gruber, 1997. "Modern Portfolio Theory, 1950 to Date," New York University, Leonard N. Stern School Finance Department Working Paper Seires 97-3, New York University, Leonard N. Stern School of Business-.
- repec:agr:journl:v:9(598):y:2014:i:9(598):p:7-22 is not listed on IDEAS
- Gabriela Victoria ANGHELACHE & Constantin ANGHELACHE, 2014. "Diversifying the risk through portfolio investment," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(9(598)), pages 7-22, September.
- Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
- Marshall L. Fisher, 2004. "Comments on ÜThe Lagrangian Relaxation Method for Solving Integer Programming ProblemsÝ," Management Science, INFORMS, vol. 50(12_supple), pages 1872-1874, December.
- Panait, Iulian & Diaconescu, Tiberiu, 2012.
"Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București
[Particularities of applying Modern Portfolio Theory on the Romanian capital m," MPRA Paper 44248, University Library of Munich, Germany.
More about this item
Keywordsmodern portfolio theory; Sharpe model; lagrangian;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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