Selecting a discrete portfolio

Wojciech Olszewski and Rakesh Vohra

Journal of Mathematical Economics, 2014, vol. 55, issue C, 69-73

Abstract: We study the problem of selecting an optimal portfolio out of a finite set of available assets. Assets are characterized by their expected returns and the covariance matrix, and investors are assumed to have a mean–variance utility, that is, their utility function is linear in the mean and variance of the portfolio they hold.

Keywords: Optimal discrete portfolios; Selection algorithms (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:55:y:2014:i:c:p:69-73

DOI: 10.1016/j.jmateco.2014.10.001

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