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ABSTRACT
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.
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CITATION
Martin B. Haugh, Andrew W. Lo, "Computational Challenges in Portfolio Management", Computing in Science & Engineering, vol. 3, no. , pp. 54-59, May/June 2001, doi:10.1109/5992.919267
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