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On the use of optimization models for portfolio selection: A review and some computational results

Zopounidis Konstantinos, Pardalos, P. M, Mattias Sandström

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URIhttp://purl.tuc.gr/dl/dias/10FF872E-73A1-4E78-AD92-C49E4D7CEE6E-
Identifierhttps://doi.org/10.1007/BF01299454-
Languageen-
Extent18 pagesen
TitleOn the use of optimization models for portfolio selection: A review and some computational resultsen
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
CreatorPardalos, P. Men
CreatorMattias Sandströmen
PublisherKluweren
Content SummaryPortfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the classical Markowitz mean-variance model we present computational results, applying a dual algorithm for constrained optimization.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2015-10-26-
Date of Publication1994-
SubjectEconomyen
Bibliographic CitationP.M. Pardalos, M. Sandström , C. Zopounidis," On the use of optimization models for portfolio selection: A review and some computational results, " Comp. Economics, vol. 7, no. 4, pp. 227-244,1994.doi:10.1007/BF01299454en

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