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An Efficient Algorithm for Solving Large-Scale Portfolio Problems

Published online by Cambridge University Press:  19 October 2009

William Breen  and
Richard Jackson
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Extract

The Sharpe or diagonal portfolio model has been accepted by a large segment of both academic and practical researchers in portfolio theory. The model is tractable, requires a relatively small set of inputs, and is viewed by many to present “reasonable” assumptions regarding the workings of the security market.

Information

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 1 , January 1971 , pp. 627 - 637
Copyright
Copyright © School of Business Administration, University of Washington 1971

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References

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