| Article ID: | iaor1989761 |
| Country: | Netherlands |
| Volume: | 40 |
| Issue: | 3 |
| Start Page Number: | 329 |
| End Page Number: | 336 |
| Publication Date: | Jun 1989 |
| Journal: | European Journal of Operational Research |
| Authors: | Morita Hiroshi, Ishii Hiroaki, Nishida Toshio |
| Keywords: | investment |
In this paper a probability maximization model of a stochastic linear knapsack problem is considered where the random variables consist of several groups with mutually correlated ones. The authors propose a solution algorithm to the equivalent nonlinear fractional programming problem with a simple ranking method. This approach will be effectively applied to one of the portfolio selection problems.