Optimal portfolios using linear programming models

Journal of the Operational Research Society

Volumn 55, Issue 11, 2004, Pages 1169-1177

  Papahristodoulou, C ^a   Dotzauer, E ^a  

^a MÄLARDALEN UNIVERSITY   (Sweden)

Author keywords

Finance; Investment analysis; Linear programming; Risk analysis

Indexed keywords

COMPUTATIONAL COMPLEXITY; INVESTMENTS; MATRIX ALGEBRA; OPTIMIZATION; PROBLEM SOLVING; QUADRATIC PROGRAMMING; RISK ASSESSMENT;

INVESTMENT ANALYSIS; MARKOWITZ MODEL; MINIMIZATIONS; RISK ANALYSIS;

LINEAR PROGRAMMING;

EID: 7544232197     PISSN: 01605682     EISSN: None     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2601765     Document Type: Article

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