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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.

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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