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Efficient Portfolio Selection

By Min Tsao, Rita Aggarwala, Hassan Aurag and Marc Paulhus

Abstract

Merak believed that an efficient frontier analysis method that combined the robustness of the Monte Carlo approach with the confidence of the Markowitz approach would be a very powerful tool for any industry. However, it soon became clear that there are other ways to address the problem that do not require a Monte Carlo component. Three subgroups were formed, and each developed a different approach for solving the problem. These were the Portfolio Selection Algorithm Approach, the Statistical Inference Approach, and the Integer Programming Approach

Topics: Energy and utilities, Finance
Year: 1999
OAI identifier: oai:generic.eprints.org:159/core70

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