SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in thresho...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/33759 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in threshold, cardinality, and roundlot. Especially for single objective will be compared between cardinality constraint and roundlot constraint in order to see which one is better. The other is biobjective portfolio optimization problem will also use mean variance model as risk measure. All these portfolio optimization problems will be solved by differential evolution algorithm. |
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