In:
Operations Research, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 25, No. 6 ( 1977-12), p. 952-967
Abstract:
We present a new method for selecting optimal portfolios when upper-bound constraints on investments in individual stocks are present and when the variance-covariance matrix of returns possesses a special structure such as that implied by the standard single-index model. The method differs substantially from the usual nonlinear programming methods used in this context and allows the development of criteria that indicate important characteristics of a stock.
Type of Medium:
Online Resource
ISSN:
0030-364X
,
1526-5463
DOI:
10.1287/opre.25.6.952
Language:
English
Publisher:
Institute for Operations Research and the Management Sciences (INFORMS)
Publication Date:
1977
detail.hit.zdb_id:
2019440-7
detail.hit.zdb_id:
123389-0
SSG:
3,2
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