mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Optimal portfolios using Linear Programming Models
Mälardalen University, School of Business.ORCID iD: 0000-0002-1545-3956
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0001-9230-1596
2004 (English)In: Journal of the Operational Research Society, ISSN 0160-5682, Vol. 55, no 11, p. 1169-1177Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
2004. Vol. 55, no 11, p. 1169-1177
Keywords [en]
Finance, linear programming, investment analysis, risk analysis
National Category
Computational Mathematics Economics
Identifiers
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
Available from: 2007-10-03 Created: 2007-10-03 Last updated: 2015-06-30Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records BETA

Papahristodoulou, ChristosDotzauer, Erik

Search in DiVA

By author/editor
Papahristodoulou, ChristosDotzauer, Erik
By organisation
School of BusinessDepartment of Mathematics and Physics
Computational MathematicsEconomics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 104 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf