A linear programming approximation for the general portfolio analysis problem

Journal of Financial and Quantitative Analysis

Volumn 6, Issue 5, 1971, Pages 1263-1275

  Sharpe, William F ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84967369360     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.2307/2329860     Document Type: Article

References (8)

1. Dantzig, George B. Linear Programming and Extension. Princeton University Press, 1963.
2. International Business Machines, Inc. “1401 Portfolio Selection Program (1401-F1-04X) Program Reference Manual.” New York: International Business Machines, Inc., 1965.
3. International Business Machines, Inc. “Mathematical Programming System/360 Version 2, Linear and Separable Programming - User's Manual.” New York: International Business Machines, Inc., 1969.
4. Markowitz, Harry. “Portfolio Selection.” The Journal of Finance, March 1952, pp. 77-91.
5. Sharpe, William F. “A Simplified Model for Portfolio Analysis.” Management Science, January 1963, pp. 277-293.
6. Sharpe, William F. “A Linear Programming Algorithm for Mutual Fund Portfolio Selection.” Management Science, March 1967, pp. 499-510.
7. Sharpe, William F. Portfolio Theory and Capital Markets. New York: McGraw-Hill, 1970.
8. Williamson, J. Peter, and David H. Downes. “Manuals for Computer Programs in Finance and Investments.” Hanover, New Hampshire: Dartmouth College, 1970.