relation: http://miis.maths.ox.ac.uk/miis/159/
title: Efficient Portfolio Selection
creator: Tsao, Min
creator: Aggarwala, Rita
creator: Aurag, Hassan
creator: Paulhus, Marc
subject: Energy and utilities
subject: Finance
description: 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.
date: 1999
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/159/1/portfolio.pdf
identifier:   Tsao, Min and Aggarwala, Rita and Aurag, Hassan and Paulhus, Marc  (1999) Efficient Portfolio Selection.  [Study Group Report]