MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
This thesis discusses two different risk measures for portfolio optimization that are mean variance and semi variance. For single objective case that minimizes the risk <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> of the expected...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/27281 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This thesis discusses two different risk measures for portfolio optimization that are mean variance and semi variance. For single objective case that minimizes the risk <br />
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of the expected return, will be using mean variance as risk measure. Constraints on single objective problems are buy-in threshold, cardinality, and roundlot. In addition, will be using multi objective optimization problem to make risk of portfolio as small as possibe and return of portfolio as large as possible. All problems of portfolio optimization will be solved with a spiral. |
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