Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company
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چکیده
منابع مشابه
Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company
and Company LLC (GMO) uses mixed-integer-programming (MIP) methods to construct portfolios that are close (in terms of sector and security exposure) to target portfolios, have the same liquidity, turnover, and expected return as the target portfolios, control frictional costs, and do so with fewer distinct stocks and with fewer transactions. It also applies MIP methods to portfolios consisting ...
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ژورنال
عنوان ژورنال: Interfaces
سال: 1999
ISSN: 0092-2102,1526-551X
DOI: 10.1287/inte.29.1.49