A Proposed Algorithm for portfolio Management Based on Markowitz Model
عنوان مقاله: A Proposed Algorithm for portfolio Management Based on Markowitz Model
شناسه ملی مقاله: IRIMC05_066
منتشر شده در پنجمین کنفرانس بین المللی مدیریت در سال 1386
شناسه ملی مقاله: IRIMC05_066
منتشر شده در پنجمین کنفرانس بین المللی مدیریت در سال 1386
مشخصات نویسندگان مقاله:
saman Hassanzadeh - Postgraduate Engineering Center ,Islamic Azad University of South Tehran Branch
Ehsan hassanzadeh - Mechanical Engineering Department , Faculty of Engineering, University of Tehran
خلاصه مقاله:
saman Hassanzadeh - Postgraduate Engineering Center ,Islamic Azad University of South Tehran Branch
Ehsan hassanzadeh - Mechanical Engineering Department , Faculty of Engineering, University of Tehran
Making portfolio decision is difficult .It has been found that Markowitz model can overcome the difficulties of portfolio management in stock exchanges. In this paper, Markowiz model has been investigated. It is a model based on return-risk .In addition, we introduce efficient frontier, utility curve and their relationship. Finally, a proposed algorithm has been presented. The model can be solved by optimization programs. A numerical example is also presented to illusteate the modeling idea and the effectiveness of the proposed algorithm.
کلمات کلیدی: portfolio Management , Markowitz , Efficent frontier
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/43459/