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Issue No.03 - May/June (2001 vol.3)
pp: 54-59
The authors describe a relatively simple problem that all investors face-managing a portfolio of financial securities over time to optimize a particular objective function. They show how complex such a problem can become when real-world constraints are incorporated into its formulation.
Martin B. Haugh, Andrew W. Lo, "Computational Challenges in Portfolio Management", Computing in Science & Engineering, vol.3, no. 3, pp. 54-59, May/June 2001, doi:10.1109/5992.919267
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