LINEAR PROGRAMMING METHODS FOR SOLVING THE PORTFOLIO’S PROBLEMS

Alexandra Tkacenko
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Alexandra Tkacenko: “Victor Slăvescu” Centre for Financial and Monetary Research, Romanian Academy

Journal of Financial and Monetary Economics, 2014, vol. 1, issue 1, 216-221

Abstract: It is well known that the portfolio optimization involves creating the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The mathematic model of these kind of problem is one of quadratic programming type. Because the solving procedure of these type of models is more complicated, in the proposed work will bring alternative models for solving a portfolio’s problem. Particularly in the paper is proposed some techniques and considerations for non-linear portfolio’s model transformation in one of linear or linear fractional type. The last ones leads to streamline the process of solving the initial model. The proposed methods have been verified practically on several examples and have been found very effective.

Keywords: portfolio; risk; benefit; linear programming; fractional programming (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2014
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