Using Lagrangian Relaxation to Obtain Small Portfolios

Leonid Kopman, Shucheng Scott Liu and Dong Shaw
The Journal of Portfolio Management Winter 2009, 35 (2) 75-79; DOI: https://doi.org/10.3905/JPM.2009.35.2.075

Article Information

vol. 35 no. 2 75-79
DOI 
https://doi.org/10.3905/JPM.2009.35.2.075
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 31, 2009.
Copyright & Usage 
© 2009 Institutional Investor, Inc.

Author Information

  1. Leonid Kopman
    1. is a senior associate of research at MSCI Barra in Berkeley, CA. (leonid.kopman{at}mscibarra.com)
  2. Shucheng Scott Liu
    1. is a vice president of research at MSCI Barra in Berkeley, CA. (scott.liu{at}mscibarra.com)
  3. Dong Shaw
    1. is the founder and president of Analytic Portfolio LLC in New York, NY. (dong.shaw{at}analyticportfolio.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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Using Lagrangian Relaxation to Obtain Small Portfolios
Leonid Kopman, Shucheng Scott Liu, Dong Shaw
The Journal of Portfolio Management Jan 2009, 35 (2) 75-79; DOI: 10.3905/JPM.2009.35.2.075
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