Fuzzy linear programming: An application in portfolio selection
Markowitz portfolio selection model is the most frequent model used when solving portfolio selection problem. But since this thesis focuses on the use of fuzzy linear programming , Markowitz portfolio selection model was transformed into mean absolute deviation minimization to be able to apply the s...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2008
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/17488 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Markowitz portfolio selection model is the most frequent model used when solving portfolio selection problem. But since this thesis focuses on the use of fuzzy linear programming , Markowitz portfolio selection model was transformed into mean absolute deviation minimization to be able to apply the said method. It includes three formulation: (1) linear optimization model, (2) Verdegay's approach, and (3) Werners' approach. This thesis uses weekly return datat from January 2008 to June 2008 with five (5) securities namely PAXYS Incorporated, Petron Corporation, Vitarich Corporation, Semirara Mining, and A Brown Company. These securities will be used to apply the portfolio optimization problem. |
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