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    • Portfolio optimization with linear programming approach 

      Weng, Hoe Lam; Saiful Hafizah, Hj. Jaaman; Zaidi, Isa (Universiti Malaysia Perlis (UniMAP)Institut Matematik Kejuruteraan, 2010-06-02)
      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 ...