This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as...