MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD

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...

Full description

Saved in:
Bibliographic Details
Main Author: SRI ZULFA (NIM : 20115010), FEMILYA
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/27281
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:27281
spelling id-itb.:272812018-03-09T16:42:35ZMULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD SRI ZULFA (NIM : 20115010), FEMILYA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/27281 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 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. 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 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 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.
format Theses
author SRI ZULFA (NIM : 20115010), FEMILYA
spellingShingle SRI ZULFA (NIM : 20115010), FEMILYA
MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
author_facet SRI ZULFA (NIM : 20115010), FEMILYA
author_sort SRI ZULFA (NIM : 20115010), FEMILYA
title MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
title_short MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
title_full MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
title_fullStr MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
title_full_unstemmed MULTI OBJECTIVE PORTFOLIO IN MEAN VARIANCE AND SEMI VARIANCE RISK MEASURES USING SPIRAL OPTIMIZATION METHOD
title_sort multi objective portfolio in mean variance and semi variance risk measures using spiral optimization method
url https://digilib.itb.ac.id/gdl/view/27281
_version_ 1822922189265960960

Similar Items