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|Title:||Optimal portfolio selection with upper bounds for individual securities|
|Authors:||Kwan, Clarence C.Y.|
Yip, Patrick C.Y.
McMaster University, Faculty of Business
|Series/Report no.:||Research and working paper series (McMaster University. Faculty of Business)|
|Abstract:||<p>In this paper, we consider the problem of optimal portfolio selection with upper bound constraints on individual securities using a constant correlation model and a single index model. The results of our study, which are at variance with those arrived at by Elton, Gruber, and Padberg in an earlier study, indicate that their ranking criterion for portfolio selection is invalid. We have developed an algorithm which provides an optimal solution to the portfolio problem.</p>|
|Description:||<p>19, 7 p. ; Includes bibliographical references (p. 19). ; Cover title.;"July, 1983."</p> <p>Supported in part by NSERC grant #A3635</p>|
|Appears in Collections:||DeGroote School of Business Working Paper Series|
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