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
Leonid Kopman
is a senior associate of research at MSCI Barra in Berkeley, CA.
Shucheng Scott Liu
is a vice president of research at MSCI Barra in Berkeley, CA.
Dong Shaw
is the founder and president of Analytic Portfolio LLC in New York, NY.
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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