| Article ID: | iaor19992203 |
| Country: | Netherlands |
| Volume: | 105 |
| Issue: | 3 |
| Start Page Number: | 457 |
| End Page Number: | 466 |
| Publication Date: | Mar 1998 |
| Journal: | European Journal of Operational Research |
| Authors: | White D.J. |
| Keywords: | portfolio analysis |
In this paper the problem of finding the efficient set of portfolios, in a general constraint set, is replaced by finding a set of epsilon-dominating portfolios, the number of which is determined by the size of epsilon. Algorithms and associated theory are given, together with some possible modifications.