The Linear Fractional Portfolio Selection Problem

DOI10.1287/MNSC.27.12.1383MaRDI QIDQ3929491zbMATH OpenOpenAlexFDO

Authors 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

choice of securitiescomputational complexitycomputational experiencecontinuous Knapsack subproblemsexcess-return-to-beta ratiogradient procedurelinear fractional portfolio selection

Mathematics Subject Classification ID

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

Cited in

(2)

• Bibliography in fractional programming
• A goal programming approach for fuzzy multiobjective fractional programming problems

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