#TITLE_ALTERNATIVE#
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...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | Theses |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/18748 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Institut Teknologi Bandung |
| 語言: | Indonesia |
| 總結: | 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. |
|---|