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Portfolio Optimization

Minimize the risk in your investment portfolio subject to achieving a certain return. Can also be accessed from the NEOS Server:

http://www.mcs.anl.gov/otc/Guide/CaseStudies/port

Many investment companies are now starting to use optimization and linear programming more extensively to decide how to allocate assets. The increase in the speed of computers has enabled the solution of far larger problems, taking some of the guesswork out of the allocation of assets.



John E Mitchell
2000-04-11