#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...

全面介紹

Saved in:
書目詳細資料
主要作者: BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL
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
id id-itb.:18748
spelling id-itb.:187482017-09-27T14:41:01Z#TITLE_ALTERNATIVE# BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/18748 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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.
format Theses
author BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL
spellingShingle BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL
#TITLE_ALTERNATIVE#
author_facet BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL
author_sort BADRIYAH (NIM : 20112016) ; Pembimbing Dr. Kuntjoro Adji Sidarto, JAMALIATUL
title #TITLE_ALTERNATIVE#
title_short #TITLE_ALTERNATIVE#
title_full #TITLE_ALTERNATIVE#
title_fullStr #TITLE_ALTERNATIVE#
title_full_unstemmed #TITLE_ALTERNATIVE#
title_sort #title_alternative#
url https://digilib.itb.ac.id/gdl/view/18748
_version_ 1823633058168832000