Issue No. 03 - May/June (2001 vol. 3)
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/5992.919267
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. , pp. 54-59, May/June 2001, doi:10.1109/5992.919267