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Computational challenges in portfolio management

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2 Author(s)
Haugh, M.B. ; Sloan Sch. of Manage., MIT, Cambridge, MA, USA ; Lo, A.W.

The authors describe a relatively simple problem that all investors face: managing a portfolio of financial securities over time to optimize a particular objective function. They show how complex such a problem can become when real-world constraints are incorporated into its formulation. More specifically, the authors present the basic dynamic portfolio optimization problem and then consider three aspects of it: taxes, investor preferences, and portfolio constraints. These three issues are by no means exhaustive, they merely illustrate examples of the kinds of challenges financial engineers face today

Published in:

Computing in Science & Engineering  (Volume:3 ,  Issue: 3 )