Cover Image

Portfolio optimization with linear programming approach

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.

Saved in:
Bibliographic Details
Main Authors: Weng, Hoe Lam, Saiful Hafizah, Hj. Jaaman, Zaidi, Isa
Other Authors: lamwenghoe84@yahoo.com
Format: Working Paper
Language:English
Published: Universiti Malaysia Perlis (UniMAP) 2010
Subjects:
Portfolio optimization
Linear Programming
Variance
Risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Online Access:http://dspace.unimap.edu.my/xmlui/handle/123456789/10257
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.unimap-10257
record_format dspace
spelling my.unimap-102572010-11-23T02:05:24Z Portfolio optimization with linear programming approach Weng, Hoe Lam Saiful Hafizah, Hj. Jaaman Zaidi, Isa lamwenghoe84@yahoo.com shj@ukm.my zaidiisa@ukm.my Portfolio optimization Linear Programming Variance Risk Regional Conference on Applied and Engineering Mathematics (RCAEM) 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. 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. 2010-11-23T02:05:24Z 2010-11-23T02:05:24Z 2010-06-02 Working Paper Vol.3(5), p.298-301 http://hdl.handle.net/123456789/10257 en Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 Universiti Malaysia Perlis (UniMAP) Institut Matematik Kejuruteraan
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Portfolio optimization
Linear Programming
Variance
Risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
spellingShingle Portfolio optimization
Linear Programming
Variance
Risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Weng, Hoe Lam
Saiful Hafizah, Hj. Jaaman
Zaidi, Isa
Portfolio optimization with linear programming approach
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.
author2 lamwenghoe84@yahoo.com
author_facet lamwenghoe84@yahoo.com
Weng, Hoe Lam
Saiful Hafizah, Hj. Jaaman
Zaidi, Isa
format Working Paper
author Weng, Hoe Lam
Saiful Hafizah, Hj. Jaaman
Zaidi, Isa
author_sort Weng, Hoe Lam
title Portfolio optimization with linear programming approach
title_short Portfolio optimization with linear programming approach
title_full Portfolio optimization with linear programming approach
title_fullStr Portfolio optimization with linear programming approach
title_full_unstemmed Portfolio optimization with linear programming approach
title_sort portfolio optimization with linear programming approach
publisher Universiti Malaysia Perlis (UniMAP)
publishDate 2010
url http://dspace.unimap.edu.my/xmlui/handle/123456789/10257
_version_ 1643789796094509056
score 13.222552

Similar Items