Tsao, Min and Aggarwala, Rita and Aurag, Hassan and Paulhus, Marc (1999) Efficient Portfolio Selection. [Study Group Report] (Unpublished)
Merak 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|
|Problem Sectors:||Energy and utilities|
|Study Groups:||Canadian Industrial Problem Solving Workshops > IPSW 3 (Victoria, Canada, May 31-Jun 4, 1999)|
|Company Name:||Merak Projects Limited|
|Deposited By:||Michele Taroni|
|Deposited On:||07 Oct 2008|
|Last Modified:||22 Jun 2009 12:44|
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