LP solvable models for portfolio optimization: A classification and computational comparison

IMA Journal of Management Mathematics

Volumn 14, Issue 3, 2003, Pages 187-220

  Mansini, Renata ^a   Ogryczak, Włodzimierz ^b   Speranza, M Grazia ^a  

^a UNIVERSITY OF BRESCIA   (Italy)

^b WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Experimental analysis; Linear programming; Mean risk and mean safety model; Portfolio optimization

Indexed keywords

EID: 1642343098     PISSN: 1471678X     EISSN: None     Source Type: Journal    
DOI: 10.1093/imaman/14.3.187     Document Type: Article

References (53)