Optimal portfolio selection with upper bounds for individual securities

Kwan, Clarence C.Y.; Yip, Patrick C.Y.; McMaster University, Faculty of Business

Please use this identifier to cite or link to this item: http://hdl.handle.net/11375/5477

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DC Field	Value	Language
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

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