Mean-variance analysis for indivisible assets

M Chapman Findlay, Richard D McBride, Jonathan S Yormark and Stephen D Messner

Omega, 1981, vol. 9, issue 1, 77-88

Abstract: In this paper we shall demonstrate classic mean-variance analysis for universes of indivisible assets. Our discrete mean-variance model, the frontier generation mechanism, and a brief description of the quadratic integer programming algorithm are presented first. We then discuss some computational strategies important in practical applications, and provide a numerical example adapted from real estate investment analysis. Finally, we present some observations on the nature of the efficient set and some general conclusions.

Date: 1981
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