Linear versus quadratic portfolio optimization model with transaction cost

• Main Authors: N.B.A, Razak, K.H., Kamil, S.M., Elias
• Format: Conference Paper
• Language: en_US
• Published: American Institute of Physics Inc. 2015
• Subjects: Optimization model; Shariah compliant securities; Transaction cost
• Online Access: http://ddms.usim.edu.my/handle/123456789/9215

Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfoli...