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This thesis deals with the issue of portfolio optimization using Markowitz’s portfolio models with constrains: (1) buy in threshold, is a constraint to circumscribe weight for each asset, (2) Cardinality is a constraint to bound assets included in a portfolio, and (3) Roundlot, is a constraint wh...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/18748 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This thesis deals with the issue of portfolio optimization using Markowitz’s portfolio models with constrains: (1) buy in threshold, is a constraint to circumscribe weight for each asset, (2) Cardinality is a constraint to bound assets included in a portfolio, and (3) Roundlot, is a constraint which required investors only transacting in lots. With these three constraints, the portfolio optimization problem become a nonlinear optimization problem with integer and real variables. Differential Evolution will be used to solve this optimization and a modified Differential Evolution will be used to solve portfolio optimization with integer variables so this modification can solve Mixed Integer Nonlinear Programming. |
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