The Optimal Selection of Small Portfolios

DOI10.1287/mnsc.29.7.792zbMath0512.90013OpenAlexW2087493275MaRDI QIDQ3657720

G. van der Hoek, B. Blog, Alexander H. G. Rinnooy Kan, G. Th. Timmer

Publication date: 1983

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.29.7.792

zbMATH Keywords

financeoptimal portfolioheuristic methodimplicit enumeration algorithmMarkowitz efficiencynegative beta-coefficientsrisk-return efficient portfolios

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Integer programming (90C10) Dynamic programming (90C39) Operations research and management science (90B99)

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