Simple Criteria for Optimal Portfolio Selection with Upper Bounds

Edwin J. Elton, Martin J. Gruber and Manfred W. Padberg
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Edwin J. Elton: New York University, New York, New York
Martin J. Gruber: New York University, New York, New York
Manfred W. Padberg: New York University, New York, New York

Operations Research, 1977, vol. 25, issue 6, 952-967

Abstract: We present a new method for selecting optimal portfolios when upper-bound constraints on investments in individual stocks are present and when the variance-covariance matrix of returns possesses a special structure such as that implied by the standard single-index model. The method differs substantially from the usual nonlinear programming methods used in this context and allows the development of criteria that indicate important characteristics of a stock.

Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:25:y:1977:i:6:p:952-967

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