Thomas W. Epps, Mary Lee Epps, The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis, Econometrica, Vol. 44, No. 2 (Mar., 1976), pp. 305-321

Charles W. Howe, Harold C. Cochrane, A Decision Model for Adjusting to Natural Hazard Events with Application to Urban Snow Storms, The Review of Economics and Statistics, Vol. 58, No. 1 (Feb., 1976), pp. 50-58

Multiasset portfolio selection models stated in terms of the expected utility criterion generally require the evaluation of multiple integrals. This reality has severely hindered attempts towards the development of computation methods to determine optimal portfolio allocations when there are a large number of assets. Aside from special cases, expected utility is not convergent into a simple closed form; the complexity from the point of view of computation is then perhaps most easily appreciated if one realizes that every iteration in a nonlinear program demands the estimation of several integrals (see Ziemba [23] for details). Such calculations are extremely costly when the number of assets is large. It is, consequently, of interest to approximate the expected utility function by a function which is easier to optimize over the set of feasible portfolios.

Abstract Reviews the book "Accounting Systems and Practice in Europe," by K. Michael Oldham.