Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost

• Main Authors: Norhidayah, Ab Razak, Karmila Hanim, Kamil, Siti Masitah, Elias
• Format: Conference Paper
• Language: en_US
• Published: Amer Inst Physics 2015
• Subjects: Optimization model; transaction cost; Shariah compliant securities
• Online Access: http://ddms.usim.edu.my/handle/123456789/8962
• Institution: Universiti Sains Islam Malaysia

Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfoli...