TITLE

PORTFOLIO MANAGEMENT AND THE SHRINKING KNAPSACK ALGORITHM

AUTHOR(S)
Stone, Bernell K.; Hill, Ned C.
PUB. DATE
December 1979
SOURCE
Journal of Financial & Quantitative Analysis;Dec79, Vol. 14 Issue 5, p1071
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper examines several aspects regarding portfolio management. The first part of the paper looks at certainty-equivalent formulations of the portfolio problem and shows that figuring out a standard certainty-equivalent problem is the solution to getting computationally efficient solutions to a broad range of portfolio revision problems. The article also presents a special-purpose algorithm for handling portfolio revision issues in the presence of transaction costs and discusses the ability to handle several portfolio revision problems.
ACCESSION #
4763930

 

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