This Note points out a minor error in a technique developed by Soyster and Level (Soyster, A. L., B. Lev. 1978. An interpretation of fractional objectives in goal programming as related to papers by Awerbuch et al., and Hannan. Management Sci. 24 (14) 1546--1549.) for determining if a linear...

A simplified portfolio selection criterion suggested by Sharpe and Mao involves choosing at most n securities from a universe of m securities in order to maximize the portfolio's excess-return-to-beta ratio. This paper examines alternative solution procedures to achieve this objective, including...

In this note we consider the validity of substituting a linear goal for a fractional goal in a mathematical program and provide a simple geometric interpretation that contrasts the essential differences between the two programs.