PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE

PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE

This thesis discusses portfolio optimization using two risk measures, mean-variance model (Markowitz model) and mean absolute deviation model (Konno - Yamazaki model). The constraints of portofolio optimization in this thesis (1) buy-in threshold, a constraint to limit the proportion of each stock,...

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Main Author: DINI (NIM : 20115030), FITRIA
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/27366
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:27366
spelling id-itb.:273662018-03-09T16:42:28ZPORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE DINI (NIM : 20115030), FITRIA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/27366 This thesis discusses portfolio optimization using two risk measures, mean-variance model (Markowitz model) and mean absolute deviation model (Konno - Yamazaki model). The constraints of portofolio optimization in this thesis (1) buy-in threshold, a constraint to limit the proportion of each stock, (2) Cardinality is a constraint to limit the number of stock to be selected to build the portofolio, and (3) roundlot, constraint which required investors to transaction in lots. For the first step, it will solved single objective portofolio optimization that is to minimize risk and maximize return. After that, we will solve multi objective problem which both problems are involved. This portofolio optimization issue will be solved using the Spiral Dynamics method developed by Tamura and Yasuda in 2011. 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 portfolio optimization using two risk measures, mean-variance model (Markowitz model) and mean absolute deviation model (Konno - Yamazaki model). The constraints of portofolio optimization in this thesis (1) buy-in threshold, a constraint to limit the proportion of each stock, (2) Cardinality is a constraint to limit the number of stock to be selected to build the portofolio, and (3) roundlot, constraint which required investors to transaction in lots. For the first step, it will solved single objective portofolio optimization that is to minimize risk and maximize return. After that, we will solve multi objective problem which both problems are involved. This portofolio optimization issue will be solved using the Spiral Dynamics method developed by Tamura and Yasuda in 2011.
format Theses
author DINI (NIM : 20115030), FITRIA
spellingShingle DINI (NIM : 20115030), FITRIA
PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
author_facet DINI (NIM : 20115030), FITRIA
author_sort DINI (NIM : 20115030), FITRIA
title PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
title_short PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
title_full PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
title_fullStr PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
title_full_unstemmed PORTFOLIO OPTIMIZATION USING MEAN VARIANCE AND MEAN ABSOLUTE DEVIATION (MAD) RISK MEASURES WITH SPIRAL OPTIMIZATION METHODE
title_sort portfolio optimization using mean variance and mean absolute deviation (mad) risk measures with spiral optimization methode
url https://digilib.itb.ac.id/gdl/view/27366
_version_ 1821934358920953856

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