An Efficient Algorithm for Solving Large-Scale Portfolio Problems

William Breen and Richard Jackson

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 1, 627-637

Abstract: The Sharpe or diagonal portfolio model has been accepted by a large segment of both academic and practical researchers in portfolio theory. The model is tractable, requires a relatively small set of inputs, and is viewed by many to present “reasonable” assumptions regarding the workings of the security market.

Date: 1971
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