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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2009.1
- 수록면
- 63 - 71 (9page)
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초록· 키워드
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The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk. The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic programming problem. Since it is now computationally practical to solve the model, a number of alternative models to overcome this complexity have been proposed.
In this paper, among the alternatives, we focus on the Mean Absolute Deviation (MAD) model. More specifically, we developed an algorithm to obtain an optimal portfolio from the MAD model. We showed mathematically that the algorithm can solve the problem to optimality. We tested it using the real data from the Korean Stock Market. The results coincide with our expectation that the method can solve a variety of problems in a reasonable computational time.
목차
등록된 정보가 없습니다.
참고문헌 (16)
참고문헌 신청
Ballestero, E. / 2007 / Portfolio selection under strict uncertainty : A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges / European
Cenci, M. / 2006 / Portfolio selection : A linear approach with dual expected utility / Applied Mathematics and Computation 179 (2) : 523 ~ 534
Guastaroba, G. / 2009 / On the effectiveness of scenario generation techniques in single-period portfolio optimization / European Journal of Operational Research 192 (2) : 50
Kim, J. S. / 2005 / An Algorithm for Portfolio Optimization Problem / Informatica 16 (1) : 93 ~ 106
Konno, H. / 1991 / Mean-Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market / Management Science 37 (5) : 519 ~ 531
Cenci, M. / 2006 / Portfolio selection : A linear approach with dual expected utility / Applied Mathematics and Computation 179 (2) : 523 ~ 534
Guastaroba, G. / 2009 / On the effectiveness of scenario generation techniques in single-period portfolio optimization / European Journal of Operational Research 192 (2) : 50
Kim, J. S. / 2005 / An Algorithm for Portfolio Optimization Problem / Informatica 16 (1) : 93 ~ 106
Konno, H. / 1991 / Mean-Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market / Management Science 37 (5) : 519 ~ 531
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