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Percentage Programming Approach for Portfolio Optimization

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  • Silviu Bârza

    ()
    (Faculty of Mathematics and Computer Science Spiru Haret University, Bucharest, Romania)

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    Abstract

    In quantitative approach to decision making, a possible point of view for portfolio optimization is to model a portfolio in terms of a linear program. In this approach a linear programming model is in form of continuous non-negative variables instead of integer non-negative variables. In some earlier paper I introduced one type of combinatorial optimization model named percentage optimization model which it is presented in “Introduction”. Next I will present a linear model for portfolio and possible transformation which produce percentage programming form. For this step I will give a possible example. In the end I will discuss complexity for an algorithm schema to solve portfolio model in percentage programming form.

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    File URL: http://stec.univ-ovidius.ro/html/anale/RO/cuprins%20rezumate/rezumatemai2010.pdf
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    Bibliographic Info

    Article provided by Ovidius University of Constantza, Faculty of Economic Sciences in its journal Ovidius University Annals, Economic Sciences Series.

    Volume (Year): X (2010)
    Issue (Month): 1 (May)
    Pages: 886-889

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    Handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:886-889

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    Web page: http://www.univ-ovidius.ro/facultatea-de-stiinte-economice
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    Related research

    Keywords: portofolio optimization; linear program; percentage programming form;

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