Percentage Programming Approach for Portfolio Optimization
AbstractIn 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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Bibliographic InfoArticle 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)
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Web page: http://www.univ-ovidius.ro/facultatea-de-stiinte-economice
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portofolio optimization; linear program; percentage programming form;
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- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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