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Optimal portfolios ...
Optimal portfolios using Linear Programming Models
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- Papahristodoulou, Christos (författare)
- Mälardalens högskola,Ekonomihögskolan,Mälardalens högskola, Ekonomihögskolan
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- Dotzauer, Erik (författare)
- Mälardalens högskola,Institutionen för matematik och fysik,Mälardalens högskola, Institutionen för matematik och fysik
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(creator_code:org_t)
- 2017-12-21
- 2004
- Engelska.
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Ingår i: Journal of the Operational Research Society. - : Informa UK Limited. - 0160-5682 .- 1476-9360. ; 55:11, s. 1169-1177
- Relaterad länk:
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http://www.optimizat...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- The classical Quadratic Programming (QP) formulation of the well-known portfolio selection problem has traditionally been regarded as cumbersome and time consuming. This paper formulates two additional models, (i) maximin, and (ii) minimization of mean absolute deviation. Data from 67 securities over 48 months are used to examine to what extent all three formulations provide similar portfolios. As expected, the maximin formulation yields the highest return and risk, while the QP formulation provides the lowest risk and return, which also creates the efficient frontier. The minimization of mean absolute deviation is close to the QP formulation. When the expected returns are confronted with the true ones at the end of a six months period, the maximin portfolios seem to be the most robust of all.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Finance
- linear programming
- investment analysis
- risk analysis
- Applied mathematics
- Tillämpad matematik
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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