SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION WITH UPPER BOUNDS

被引：12

作者：

ELTON, EJ

GRUBER, MJ

PADBERG, MW

机构：

来源：

OPERATIONS RESEARCH | 1977年 / 25卷 / 06期

关键词：

D O I：

10.1287/opre.25.6.952

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：952 / 967

页数：16

共 11 条

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[2] SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION [J].

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GRUBER, MJ ;

PADBERG, MW .

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[3]

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[4]

ELTON EJ, 1975, GBA69 NEW YORK U WOR

[5]

ELTON EJ, 1973, J FINANC, V27, P1203

[6] THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS [J].

LINTNER, J .

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[7]

Markowitz H., 1971, PORTFOLIO SELECTION

[8] PORTFOLIO SELECTION [J].

Markowitz, Harry .

JOURNAL OF FINANCE, 1952, 7 (01) :77-91

[9]

Sharpe W. F., 1967, MANAGE SCI, V13, P499, DOI [10.1287/mnsc.13.7.499, DOI 10.1287/MNSC.13.7.499]

[10] LINEAR PROGRAMMING APPROXIMATION FOR GENERAL PORTFOLIO ANALYSIS PROBLEM [J].

SHARPE, WF .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (05) :1263-1275

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