Efficient Portfolio Selection
Tsao, Min and Aggarwala, Rita and Aurag, Hassan and Paulhus, Marc
(1999)
Efficient Portfolio Selection.
Canadian Industrial Problem Solving Workshops > 3rd IPSW [Victoria 31/5/1999 - 4/5/1999].
Full text available as: Abstract/SummaryMerak believed that an efficient frontier analysis method that combined the robustness of the Monte Carlo approach with the confidence of the Markowitz approach would be a very powerful tool for any industry. However, it soon became clear that there are other ways to address the problem that do not require a Monte Carlo component.
Three subgroups were formed, and each developed a different approach for solving the problem. These were the Portfolio Selection Algorithm Approach, the Statistical Inference Approach, and the Integer Programming Approach. | Item Type: | Study Group Report |
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| Study Group: | Canadian Industrial Problem Solving Workshops > 3rd IPSW [Victoria 31/5/1999 - 4/5/1999] |
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| Company Name: | Merak Projects Limited |
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| Industrial Sector: | Energy and utilities
Finance |
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| Additional Contributors: | Amjoun, Benyounes and Calistrate, Dan and Caprioglio, Myriam and Hawkins, Brenda and Kjiri, Mounia and Koziak, Tamara and Lemaire, Vincent and McVean, Jason and Powojowski, Miro and Reed, Bill and Tomoda, Satoshi and Zhou, Julie |
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| ID Code: | 159 |
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| Deposited By: | Michele Taroni |
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| Deposited On: | 07 October 2008 |
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Problem StatementIf portfolios made up of a selection of petroleum projects are plotted on a graph of expected value versus risk, there is an upper bound above which no portfolios are found. This upper bound is known as the efficient frontier.
The goal for this project is to address the weaknesses of two approaches to efficient frontier analysis, one developed by Harry Markowitz in the 1950s using matrix algebra, the other developed by Merak based on Monte Carlo, perhaps by combining or partially combining them. Archive Staff Only: edit this record
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