Portfolio Optimization Using Linear Programming
This note describes a method for quantifying return, risk, and their tradeoff and for finding optimal portfolios using linear programming. This case puts students in the role of a portfolio manager deciding how to allocate funds among several investment alternatives by using the Investment Linear Program (INVLP).
Case id: 120202
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Professor Broadie currently teaches the elective courses Security Pricing: Models and Computation, Computational Finance, and Programming for Business Research. He is the Research Director for the Program for Financial Studies. His research interests include the pricing of derivative securities, risk management and, more generally, quantitative methods for decision-making under uncertainty. Broadie is the financial engineering area editor of Operations Research and serves on... View Full profile
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