Computational challenges in portfolio management

Authors
Haugh, MB Lo, AW
Citation
Mb. Haugh et Aw. Lo, Computational challenges in portfolio management, COMPUT SC E, 3(3), 2001, pp. 54-59
Citations number
18
Categorie Soggetti
Multidisciplinary,"Computer Science & Engineering
Journal title
COMPUTING IN SCIENCE & ENGINEERING
ISSN journal
15219615 → ACNP
Volume
3
Issue
3
Year of publication
2001
Pages
54 - 59
Database
ISI
SICI code
1521-9615(200105/06)3:3<54:CCIPM>2.0.ZU;2-L
Abstract
The authors describe a relatively simple problem that all investors face--m anaging a portfolio of financial securities over time to optimize a particu lar objective function. They show how complex such a problem can become whe n real-world constraints are incorporated into its formulation.