Quadratic Programming as An Optimization Tool for Portfolio Management
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Date
2016-09-01
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Publisher
, International Journal of Mathematics and Computer Applications Research (IJMCAR)
Abstract
In this paper, an investigation of Nigerian stocks was carried out. The principal task concerns essentially
optimizing the portfolio or investors in Nigeria Stocks. Observations revealed that, though it is possible to get profits from investments in some securities but attached to them are some measure of risks. The paper has been able to provide a solution to the problem of balancing the profits and risks attached in the management of portfolios. The optimization tools used in this work includes the mean-variance principle which was used to model the problem and the extended simplex method which was employed in solving the problem.
Description
Results from one of my Students' work.
Keywords
Quadratic; Programming; Portfolio; Management; Optimization; and Karush-Kuhn-Tucker Conditions
Citation
1