A Simple Algorithm for the Portfolio Selection Problem
提出一个快速收敛的算法，用于解决在线性约束下最大化凹效用函数的投资组合问题，基于Markowitz临界线方法的迭代使用，并给出一个状态或有债权理论的简单例子。
ABSTRACT The author presents a rapidly convergent algorithm to solve the general portfolio problem of maximizing concave utility functions subject to linear constraints. The algorithm is based on an iterative use of the Markowitz critical line method for solving quadratic programs. A simple example, taken from the theory of state‐contingent claims, is worked out in detail. For technical convergence results, the reader is referred to the appropriate mathematical programming literature.