A Simplified Model for Portfolio Analysis

  title={A Simplified Model for Portfolio Analysis},
  author={William F. Sharpe},
  journal={Management Science},
  • W. Sharpe
  • Published 1963
  • Computer Science
  • Management Science
This paper describes the advantages of using a particular model of the relationships among securities for practical applications of the Markowitz portfolio analysis technique. A computer program has been developed to take full advantage of the model: 2,000 securities can be analyzed at an extremely low cost--as little as 2% of that associated with standard quadratic programming codes. Moreover, preliminary evidence suggests that the relatively few parameters used by the model can lead to very… 

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