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The risk profile problem for stock portfolio optimization (extended abstract)
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Source Annual ACM Symposium on Theory of Computing archive
Proceedings of the thirty-second annual ACM symposium on Theory of computing table of contents
Portland, Oregon, United States
Pages: 228 - 234  
Year of Publication: 2000
ISBN:1-58113-184-4
Authors
Ming-Yang Kao  Dept of Computer Science, Yale University, New Haven, CT
Andreas Nolte  Dept of Computer Science, Yale University, New Haven, CT
Stephen R. Tate  Dept of Computer Science, University of North Texas, Denton, TX
Sponsor
SIGACT: ACM Special Interest Group on Algorithms and Computation Theory
Publisher
ACM  New York, NY, USA
Bibliometrics
Downloads (6 Weeks): 6,   Downloads (12 Months): 27,   Citation Count: 0
Additional Information:

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REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

 
1
M. Dyer and A. Frieze. Computing the volume of convex bodies: a case where randomness provably helps. In Probabilistic combinatorics and its applications, pages 123-169. American Mathematical Society, Providence, RI, 1991.
2
Martin Dyer , Alan Frieze , Ravi Kannan, A random polynomial-time algorithm for approximating the volume of convex bodies, Journal of the ACM (JACM), v.38 n.1, p.1-17, Jan. 1991  [doi>10.1145/102782.102783]
 
3
Martin Dyer , Ravi Kannan , John Mount, Sampling contingency tables, Random Structures & Algorithms, v.10 n.4, p.487-506, July 1997  [doi>10.1002/(SICI)1098-2418(199707)10:4<487::AID-RSA4>3.0.CO;2-Q]
4
Andrew V. Goldberg , Satish Rao, Beyond the flow decomposition barrier, Journal of the ACM (JACM), v.45 n.5, p.783-797, Sept. 1998  [doi>10.1145/290179.290181]
 
5
R. Kannan. Markov chains and polynomial time algorithms. In Proceedings of the 35th Annual IEEE Symposium on the Foundations of Computer Science, pages 656-671, 1994.
 
6
Ravi Kannan , László Lovász , Miklós Simonovits, Random walks and an O*(n5) volume algorithm for convex bodies, Random Structures & Algorithms, v.11 n.1, p.1-50, Aug. 1997  [doi>10.1002/(SICI)1098-2418(199708)11:1<1::AID-RSA1>3.0.CO;2-X]
 
7
W. F. Sharpe, G. J. Alexander, and J. V. Bailey. Investments. Prentice-Hall, Upper Saddle River, NJ, 5th edition, 1995.

INDEX TERMS

Primary Classification:
  J. Computer Applications
  J.1 ADMINISTRATIVE DATA PROCESSING
      Subjects: Financial (e.g., EFTS)

Additional Classification:
  F. Theory of Computation
  F.1 COMPUTATION BY ABSTRACT DEVICES
      F.1.2 Modes of Computation
          Subjects: Probabilistic computation

  G. Mathematics of Computing


General Terms:
Algorithms, Design, Management, Measurement, Performance, Theory, Verification

Collaborative Colleagues:
Ming-Yang Kao: colleagues
Andreas Nolte: colleagues
Stephen R. Tate: colleagues

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