| Article ID: | iaor1996908 |
| Country: | United Kingdom |
| Volume: | 46 |
| Issue: | 8 |
| Start Page Number: | 1023 |
| End Page Number: | 1032 |
| Publication Date: | Aug 1995 |
| Journal: | Journal of the Operational Research Society |
| Authors: | Yoshio Tabata, Eiji Takeda |
This paper is concerned with a traditional asset allocation of the Markowitz type and develops an efficient algorithm to design an index fund that is a compromise solution to the bicriteria optimization problem. A numerical example is provided to illustrate the present algorithm.