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Computational Challenges in Portfolio Management
May/June 2001 (vol. 3 no. 3)
pp. 54-59
ASCII Text
x 
 
Martin B. Haugh, Andrew W. Lo, "Computational Challenges in Portfolio Management," Computing in Science and Engineering, vol. 3, no. 3, pp. 54-59, May/June, 2001.
 
 
BibTex
x
 
@article{ 10.1109/5992.919267,
author = {Martin B. Haugh and Andrew W. Lo},
title = {Computational Challenges in Portfolio Management},
journal ={Computing in Science and Engineering},
volume = {3},
number = {3},
issn = {1521-9615},
year = {2001},
pages = {54-59},
doi = {http://doi.ieeecomputersociety.org/10.1109/5992.919267},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
x 
 
TY - MGZN
JO - Computing in Science and Engineering
TI - Computational Challenges in Portfolio Management
IS - 3
SN - 1521-9615
SP54
EP59
EPD - 54-59
A1 - Martin B. Haugh,
A1 - Andrew W. Lo,
PY - 2001
VL - 3
JA - Computing in Science and Engineering
ER -
 
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.
Citation:
Martin B. Haugh, Andrew W. Lo, "Computational Challenges in Portfolio Management," Computing in Science and Engineering, vol. 3, no. 3, pp. 54-59, May/June 2001, doi:10.1109/5992.919267
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