Computational challenges in portfolio management

Authors:
Martin B. Haugh;Andrew W. Lo
Affiliations:
-;-
Venue:
Computing in Science and Engineering
Year:
2001

Citing 2
Cited 4

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ACM Transactions on Reconfigurable Technology and Systems (TRETS)

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Abstract

The authors describe a relatively simple problem that all investors face-managing a portfolio of financial securities over time to optimize a particular objective function. They show how complex such a problem can become when real-world constraints are incorporated into its formulation.