A practical LP model for equity portfolios |
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| Authors: | Reuven R Levary Michael L Avery |
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| Institution: | Saint Louis University, USA;Mercantile Trust Company, USA |
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| Abstract: | A linear programming portfolio selection model is formulated, taking into consideration the objectives and constraints which are imposed on portfolio managers. The composition of portfolios determined by the use of the model are compared to actual portfolios determined by portfolio managers without the use of any quantitative model. The practical use of the model is evaluated and conclusions are reported. |
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