scholarly journals Linear and non-linear optimization models for the selection of investment portfolio

2021 ◽  
Vol 47 ◽  
Author(s):  
Sigutė Vakrinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Risk Evaluation ◽  
Statistical Data ◽  
Linear Optimization ◽  
Investment Portfolio ◽  
Non Linear Programming ◽  
Non Linear ◽  
The Baltic ◽  
Investment Portfolios ◽  
Selection Of

This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other.  In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios.

scholarly journals Bimatrix game model for the selection of investment portfolio

2009 ◽  
Vol 50 ◽  
Author(s):  
Sigutė Vakarinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Nash Equilibria ◽  
Statistical Data ◽  
Game Model ◽  
Investment Portfolio ◽  
Bimatrix Game ◽  
Experimental Part ◽  
Investment Portfolios ◽  
Market Indexes ◽  
Selection Of

This research suggests a Nash equilibria model for the selection of investment portfolios. The components of portfolio are found by solving linear programming task with binary variables. In the experimental part of the research ineffective portfolios exerted from this model are tested referring to the statistical data of the stock market indexes of several countries. Realizations of the suggested portfolios are compared to realizations of effective portfolios.

scholarly journals STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL

2020 ◽  
Vol 1 (1) ◽  
pp. 47-58
Author(s):  
Indah Nur Nur Safitri ◽  
Sudradjat Sudradjat ◽  
Eman Lesmana
Keyword(s):  
Linear Programming ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Diversification Strategy ◽  
Non Linear Programming ◽  
Markowitz Model ◽  
Non Linear ◽  
Equity Ratio ◽  
Stock Portfolio ◽  
Selection Of

A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. Using the Markowitz model, which is then solved by Non Linear Programming, an optimal portfolio is obtained with the proportion of each stock minimizing risk. In general, the results of this analysis indicate that portfolios with more stocks will produce lower risks compared to portfolios with fewer stocks, thus providing optimal diversification solutions, namely portfolios with members of five stocks with optimal risk of 0.886%.

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