Percentage Programming Approach for Portfolio Optimization

Silviu Bârza ()
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Silviu Bârza: Faculty of Mathematics and Computer Science Spiru Haret University, Bucharest, Romania

Ovidius University Annals, Economic Sciences Series, 2010, vol. X, issue 1, 886-889

Abstract: In quantitative approach to decision making, a possible point of view for portfolio optimization is to model a portfolio in terms of a linear program. In this approach a linear programming model is in form of continuous non-negative variables instead of integer non-negative variables. In some earlier paper I introduced one type of combinatorial optimization model named percentage optimization model which it is presented in “Introduction”. Next I will present a linear model for portfolio and possible transformation which produce percentage programming form. For this step I will give a possible example. In the end I will discuss complexity for an algorithm schema to solve portfolio model in percentage programming form.

Keywords: portofolio optimization; linear program; percentage programming form (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:10:y:2010:i:1:p:886-889

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