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http://hdl.handle.net/11375/5477
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DC Field | Value | Language |
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dc.contributor.author | Kwan, Clarence C.Y. | en_US |
dc.contributor.author | Yip, Patrick C.Y. | en_US |
dc.contributor.author | McMaster University, Faculty of Business | en_US |
dc.date.accessioned | 2014-06-17T20:40:32Z | - |
dc.date.available | 2014-06-17T20:40:32Z | - |
dc.date.created | 2013-12-23 | en_US |
dc.date.issued | 1983-07 | en_US |
dc.identifier.other | dsb/137 | en_US |
dc.identifier.other | 1136 | en_US |
dc.identifier.other | 4944160 | en_US |
dc.identifier.uri | http://hdl.handle.net/11375/5477 | - |
dc.description | <p>19, 7 p. ; Includes bibliographical references (p. 19). ; Cover title.;"July, 1983."</p> <p>Supported in part by NSERC grant #A3635</p> | en_US |
dc.description.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> | en_US |
dc.relation.ispartofseries | Research and working paper series (McMaster University. Faculty of Business) | en_US |
dc.relation.ispartofseries | no. 211 | en_US |
dc.subject.lcc | Portfolio management > Mathematical models Securities > Mathematical models | en_US |
dc.title | Optimal portfolio selection with upper bounds for individual securities | en_US |
dc.type | article | en_US |
Appears in Collections: | DeGroote School of Business Working Paper Series |
Files in This Item:
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fulltext.pdf | 613.43 kB | Adobe PDF | View/Open |
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