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Selecting a discrete portfolio

Author

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  • Olszewski, Wojciech
  • Vohra, Rakesh

Abstract

We study the problem of selecting an optimal portfolio out of a finite set of available assets. Assets are characterized by their expected returns and the covariance matrix, and investors are assumed to have a mean–variance utility, that is, their utility function is linear in the mean and variance of the portfolio they hold.

Suggested Citation

  • Olszewski, Wojciech & Vohra, Rakesh, 2014. "Selecting a discrete portfolio," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 69-73.
    • Handle: RePEc:eee:mateco:v:55:y:2014:i:c:p:69-73
    DOI: 10.1016/j.jmateco.2014.10.001
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    References listed on IDEAS

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    1. Hector Chade & Lones Smith, 2006. "Simultaneous Search," Econometrica, Econometric Society, vol. 74(5), pages 1293-1307, September.
    2. J. M. W. Rhys, 1970. "A Selection Problem of Shared Fixed Costs and Network Flows," Management Science, INFORMS, vol. 17(3), pages 200-207, November.
    3. Dorit S. Hochbaum, 2004. "50th Anniversary Article: Selection, Provisioning, Shared Fixed Costs, Maximum Closure, and Implications on Algorithmic Methods Today," Management Science, INFORMS, vol. 50(6), pages 709-723, June.
    4. Stanley Reiter, 1963. "Choosing an Investment Program among Interdependent Projects," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 30(1), pages 32-36.
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