search query: @author Bertsimas, D. / total: 7
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| Author: | Bertsimas, D. |
| Title: | Portfolio construction through mixed-integer programming at Grantham, Mayo, Van Otterloo and company |
| Journal: | Interfaces
1999 : JAN-FEB, VOL. 29:1, p. 49-66 |
| Index terms: | COMPANIES INTEGER PROGRAMMING PORTFOLIO INVESTMENT |
| Language: | eng |
| Abstract: | Grantham, Mayo, Van Otterloo and Company LLC (GMO) uses mixed-integer-programming (MIP) methods to construct portfolios that are close to target portfolios, have the same liquidity, turnover, and expected return as the target portfolios, control frictional costs, and do so with fewer distinct stocks and with fewer transactions. It also applies MIP methods to portfolios consisting of several subportfolios. It uses MIP approach to construct 11 quantitatively managed portfolios representing over $8 billion in assets. |
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