Mean variance efficient portfolios by linear programming: A review of some portfolio selection criteria of Elton, Gruber and Padberg
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References listed on IDEAS
- Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
- Kwan, Clarence C Y, 1984. " Portfolio Analysis Using Single Index, Multi-index, and Constant Correlation Models: A Unified Treatment," Journal of Finance, American Finance Association, vol. 39(5), pages 1469-1483, December.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
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KeywordsKeywords: Mean variance efficient portfolios; short sale constraints; linear programming; multiple basis shifts; place- ment limits.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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