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A Case Study in Mathematical Programming of Portfolio Selections
Author(s) -
Paine Neil R.
Publication year - 1966
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2985631
Subject(s) - portfolio , computer science , mathematical economics , operations research , management science , economics , mathematics , financial economics
This paper deals with a case study involving the so‐called E, V theory of portfolio selection attributable to Markowitz (1959). The case study provides a basis for illustrating two ways in which the E, V theory may be put to practical use by portfolio managers.