ARTICLES - Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company - GMO uses mixed-integer programming to construct 11 portfolios representing over USD 8 billion in assets that are close to target portfolios in terms of sector and security exposure but have fewer distinct stocks and require fewer transactions. This has improved performance and reduced ...
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|Authors:||Betsimas, Dimitris; Darnell, Christopher; Soucy, Robert|
Interfaces : the INFORMS journal on the practice of operations research. - Linthicum, Md : INFORMS, ISSN 0092-2102, ZDB-ID 1207854. - Vol. 29.1999, 1, p. 49-66
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