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A Computer Simulation Model for Investment Portfolio Management

Ross Ziskind and Robert Boldin
Financial Management
Vol. 2, No. 3 (Autumn, 1973), pp. 23-33
Published by: Wiley on behalf of the Financial Management Association International
Stable URL: http://www.jstor.org/stable/3664984
Page Count: 11
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Computer Simulation Model for Investment Portfolio Management
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Abstract

The purpose of this paper is to show how some of the results of modern financial theory, embedded in the context of a simulation approach, can be used to develop a computer model to assist in the management of investment portfolios. Such a model can aid the manager in evaluating and understanding proposed portfolio policies, particularly policies related to risk. The simulation technique is shown to be helpful in enabling the user to deal with the results of capital market theory at a practical, problem-oriented level and in allowing him to extrapolate the consequences of alternative proposed policies for problems which are both dynamic and probabilistic.

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