Portfolio optimization with factors, scenarios, and realistic short positions

Operations Research

Volumn 53, Issue 4, 2005, Pages 586-599

  Jacobs, Bruce I ^a   Levy, Kenneth N ^a   Markowitz, Harry M ^b  

^a Jacobs Levy Equity Management   (United States)

^b Harry Markowitz Co   (United States)

Author keywords

Finance; Portfolio: optimization with short sales

Indexed keywords

CRITICAL LINE ALGORITHMS (CLA); FAST ALGORITHMS; LINEAR EQUALITY; PORTFOLIO: OPTIMIZATION WITH SHORT SALES;

ALGORITHMS; CONSTRAINT THEORY; INVESTMENTS; MATHEMATICAL MODELS; PROBLEM SOLVING; SECURITY OF DATA;

OPTIMIZATION;

EID: 25144436335     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1050.0212     Document Type: Article

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