Constructing an Index Fund Using Interior Point Primal- Dual Method
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 30 credits / 45 HE credits
Student thesis
Abstract [en]
Optimization methods nowadays play a very important role in financial decisions such as portfolio managements, construction of index funds and pension funds.
This Master Thesis is devoted to the problem of an index fund construction. The problem is represented as a linear optimization problem of re-balancing the portfolio at minimum cost and solved using the Primal-Dual interior point method. The index fund is constructed using ten companies from the Dow Jones Industrial Average Index (DJIA).
The Primal-Dual interior point method was first implemented in Matlab and later on in Java.
Place, publisher, year, edition, pages
2011. , p. 110
Keywords [en]
Index fund, interior point method, primal dual method, linear programming model
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:mdh:diva-13041OAI: oai:DiVA.org:mdh-13041DiVA, id: diva2:442249
Subject / course
Mathematics/Applied Mathematics
Presentation
2011-06-13, R3-121, Mälardalen University | Box 883 | 721 23, Västerås, 13:15 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
2013-01-162011-09-202013-01-17Bibliographically approved