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Portfolio Optimization Algorithms

Author

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  • IONUT TRAIAN LUCA

    (Department of Business, Faculty of Business, Babes-Bolyai University, Cluj-Napoca, Romania)

Abstract

A milestone in Portfolio Theory is represented by the Mean- Variance Model introduced in 1952 by Harry Markowitz. During the years, mathematicians have developed several different models extending, improving and diversifying the Mean-Variance Model. This paper will briefly present some of these extensions and the resulted models. The aim is to search and identify some connections between portfolio theory and energy production. Analyzing the Mean-Variance Model and its extensions we can conclude that from practical point of view the minimax model is the easiest to be implemented, because the analytical solution is computed with low effort. This model, like all others from Portfolio Theory, has a high sensitivity for mean. We consider that this model fits to our goal (energy optimization) and we intend to implement it in our future research project.

Suggested Citation

  • Ionut Traian Luca, 2015. "Portfolio Optimization Algorithms," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    • Handle: RePEc:bbn:journl:2015_3_3_luca
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    File URL: http://tbs.ubbcluj.ro/RePEc/bbn/journl/Negotia_3_2015.pdf
    File Function: Revised version, 2015
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    More about this item

    Keywords

    portfolio; optimization; algorithms;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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