Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company

Dimitris Bertsimas
Dimitris Bertsimas
Sloan School of Management and Operations Research Center, Massachusetts Institute of Technology, Room E53-363, Cambridge, Massachusetts 02142
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,
Christopher Darnell
Christopher Darnell
Grantham, Mayo, Van Otterloo and Company LLC, 40 Rowes Wharf Boston, Massachusetts 02110
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,
Robert Soucy
Robert Soucy
Grantham, Mayo, Van Otterloo and Company LLC, 40 Rowes Wharf Boston, Massachusetts 02110
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Sloan School of Management and Operations Research Center, Massachusetts Institute of Technology, Room E53-363, Cambridge, Massachusetts 02142

Grantham, Mayo, Van Otterloo and Company LLC, 40 Rowes Wharf Boston, Massachusetts 02110

Grantham, Mayo, Van Otterloo and Company LLC, 40 Rowes Wharf Boston, Massachusetts 02110

References

Markowitz H. Portfolio Selection: Efficient Diversification and Investments (1959) (John Wiley and Sons, New York) Google Scholar

January-February 1999

Pages 1-146

Dimitris Bertsimas, Christopher Darnell, Robert Soucy, (1999) Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company. Interfaces 29(1):49-66.