The Linear Fractional Portfolio Selection Problem

DOI10.1287/mnsc.27.12.1383zbMath0473.90008OpenAlexW2028356014MaRDI QIDQ3929491

Bruce Faaland, Nancy L. Jacob

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1287/mnsc.27.12.1383

zbMATH Keywords

computational complexitycomputational experiencegradient procedurechoice of securitiescontinuous Knapsack subproblemsexcess-return-to-beta ratiolinear fractional portfolio selection

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Integer programming (90C10) Fractional programming (90C32) Operations research and management science (90B99) Portfolio theory (91G10)

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