Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions.

Bruce I. Jacobs Kenneth N. Levy Harry M. Markowitz Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions. 586-599 2005 53 Operations Research 4 http://dx.doi.org/10.1287/opre.1050.0212 db/journals/ior/ior53.html#JacobsLM05