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| Author: | White, D. |
| Title: | Epsilon-dominating solutions in mean-variance portfolio analysis |
| Journal: | European Journal of Operational Research
1998 : MAR 16, VOL. 105:3, p. 457-466 |
| Index terms: | OPERATIONAL RESEARCH PORTFOLIO MANAGEMENT EFFICIENCY |
| Language: | eng |
| Abstract: | In this paper the problem of finding the efficient set of portfolios, in a general constraint set, is replaced by finding a set of epsilon-dominating portfolios, the number of which is determined by the size of epsilon. Algorithms, and associated theory are given, together with some possible modifications. |
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