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| Title: | Portfolio optimization with linear programming approach |
| Authors: | Weng, Hoe Lam
Saiful Hafizah, Hj. Jaaman
Zaidi, Isa |
| E-mail: | 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) |
| 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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