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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
shj@ukm.my
zaidiisa@ukm.my
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

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