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A Linear Programming Approximation for the General Portfolio Analysis Problem

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  • Sharpe, William F.

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  • Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1263-1275, December.
  • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:05:p:1263-1275_02
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    Cited by:

    1. Li, Han-Lin & Tsai, Jung-Fa, 2008. "A distributed computation algorithm for solving portfolio problems with integer variables," European Journal of Operational Research, Elsevier, vol. 186(2), pages 882-891, April.
    2. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
    3. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
    4. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    5. repec:spr:annopr:v:256:y:2017:i:1:d:10.1007_s10479-016-2176-6 is not listed on IDEAS
    6. Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
    7. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
    8. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
    9. repec:taf:apeclt:v:24:y:2017:i:14:p:1035-1040 is not listed on IDEAS
    10. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
    11. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
    12. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
    13. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
    14. repec:pal:jorsoc:v:68:y:2017:i:12:d:10.1057_s41274-016-0164-5 is not listed on IDEAS
    15. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
    16. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    17. repec:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-016-2346-6 is not listed on IDEAS
    18. Castro, F. & Gago, J. & Hartillo, I. & Puerto, J. & Ucha, J.M., 2011. "An algebraic approach to integer portfolio problems," European Journal of Operational Research, Elsevier, vol. 210(3), pages 647-659, May.
    19. Pflug, Georg Ch., 2006. "A value-of-information approach to measuring risk in multi-period economic activity," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 695-715, February.
    20. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
    21. W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
    22. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    23. repec:spr:opsear:v:55:y:2018:i:1:d:10.1007_s12597-017-0311-z is not listed on IDEAS
    24. repec:eee:ecmode:v:68:y:2018:i:c:p:611-621 is not listed on IDEAS

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