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A New and Efficient Algorithm for a Class of Portfolio Selection Problems.
- Source :
- Operations Research; May/Jun80 Part 2 of 2, Vol. 28 Issue 3, p754, 14p
- Publication Year :
- 1980
-
Abstract
- This paper proposes a new approach and develops an efficient algorithm for solving a class of (simplified) portfolio selection problems. The approach is based on the technique of parametric principal pivoting. The algorithm is particularly suited for problems with special structure and can handle potentially large problems. When specialized to the multiple index model, the algorithm achieves enormous savings in computer storage and computations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0030364X
- Volume :
- 28
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 4472621
- Full Text :
- https://doi.org/10.1287/opre.28.3.754