Abstract : This paper considers optimization problems in which some or all variables must take on integral values. An ability to solve such problems would be valuable in itself and would also allow handling certain kinds of heretofore intractable 'economies of scale'. An automatic algorithm for solving such problems is not given. A general approach susceptible of individual variations, depending upon the problem and the judgment of the user is presented. Two moderate-size examples are presented to illustrate the method. (Author)

The general portfolio selection model preliminary results solution to the general portfolio selection model special cases a portfolio selection programme.

ABSTRACT Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.