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Percentage Programming Approach for Portfolio Optimization

Author

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  • Silviu Bârza

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

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.

Suggested Citation

  • Silviu Bârza, 2010. "Percentage Programming Approach for Portfolio Optimization," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 886-889, May.
  • Handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:886-889
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    More about this item

    Keywords

    portofolio optimization; linear program; percentage programming form;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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