The MIIS Eprints Archive

Efficient Portfolio Selection

Tsao, Min and Aggarwala, Rita and Aurag, Hassan and Paulhus, Marc (1999) Efficient Portfolio Selection. [Study Group Report]



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
Problem Sectors:Energy and utilities
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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