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Optimal portfolios using Linear Programming Models
Mälardalens högskola, Ekonomihögskolan.ORCID-id: 0000-0002-1545-3956
Mälardalens högskola, Institutionen för matematik och fysik.ORCID-id: 0000-0001-9230-1596
2004 (engelsk)Inngår i: Journal of the Operational Research Society, ISSN 0160-5682, Vol. 55, nr 11, s. 1169-1177Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

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.

sted, utgiver, år, opplag, sider
2004. Vol. 55, nr 11, s. 1169-1177
Emneord [en]
Finance, linear programming, investment analysis, risk analysis
HSV kategori
Identifikatorer
URN: urn:nbn:se:mdh:diva-3754DOI: 10.1057/palgrave.jors.2601765ISI: 000224382200006Scopus ID: 2-s2.0-7544232197OAI: oai:DiVA.org:mdh-3754DiVA, id: diva2:116418
Tilgjengelig fra: 2007-10-03 Laget: 2007-10-03 Sist oppdatert: 2015-06-30bibliografisk kontrollert

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