Tsao, Min and Aggarwala, Rita and Aurag, Hassan and Paulhus, Marc (1999) Efficient Portfolio Selection. [Study Group Report]
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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.
Item Type: | Study Group Report |
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Problem Sectors: | Energy and utilities Finance |
Study Groups: | Canadian Industrial Problem Solving Workshops > IPSW 3 (Victoria, Canada, May 31-Jun 4, 1999) |
Company Name: | Merak Projects Limited |
ID Code: | 159 |
Deposited By: | Michele Taroni |
Deposited On: | 07 Oct 2008 |
Last Modified: | 29 May 2015 19:48 |
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