iRepository at Perpustakaan UniMAP >
The Library >
Conference Papers >

Please use this identifier to cite or link to this item: http://dspace.unimap.edu.my:80/xmlui/handle/123456789/10257

Title: Portfolio optimization with linear programming approach
Authors: Weng, Hoe Lam
Saiful Hafizah, Hj. Jaaman
Zaidi, Isa
???metadata.dc.contributor.url???: lamwenghoe84@yahoo.com
Keywords: Portfolio optimization;Linear Programming;Variance;Risk;Regional Conference on Applied and Engineering Mathematics (RCAEM)
Issue Date: 2-Jun-2010
Publisher: Universiti Malaysia Perlis (UniMAP)
???metadata.dc.publisher.department???: Institut Matematik Kejuruteraan
Citation: Vol.3(5), p.298-301
Series/Report no.: Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010
Abstract: Variance has been commonly used as risk measure in portfolio optimization since the introduction of mean-variance model by Markowitz. However, the mean-variance model is a quadratic programming model. It takes longer time to solve this model. Some linear programming models have been proposed to overcome the disadvantage of mean-variance model. The purpose of this paper is to compare the portfolio composition and performance of different linear programming models with mean-variance model. The linear programming models that will be discussed in this paper are mean absolute deviation, minimax and conditional value at risk.
Description: 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.
URI: http://hdl.handle.net/123456789/10257
Appears in Collections:Conference Papers

Files in This Item:

File Description SizeFormat
Paper ID R019.pdfAccess is limited to UniMAP community80.57 kBAdobe PDFView/Open
View Statistics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Valid XHTML 1.0! Perpustakaan Tuanku syed Faizuddin Putra, Kampus Pauh Putra, Universiti Malaysia Perlis, 02600, Arau Perlis
TEL: +604-9885420 | FAX: +604-9885405 | EMAIL: rujukan@unimap.edu.my Feedback