Academic
Publications
Optimal portfolios using linear programming models

Optimal portfolios using linear programming models,10.1057/palgrave.jors.2601765,Journal of The Operational Research Society,Christos Papahristodoulou

Optimal portfolios using linear programming models   (Citations: 10)
BibTex | RIS | RefWorks Download
The classical Quadratic Programming (QP) formulation of the well-known portfolio selection problem has traditionally been regarded as cumbersome and time consuming. This paper formulates two additional models, (i) maximin, and (ii) minimization of mean absolute deviation. Data from 67 securities over 48 months are used to examine to what extent all three formulations provide similar portfolios. As expected, the maximin formulation yields the highest return and risk, while the QP formulation provides the lowest risk and return, which also creates the efficient frontier. The minimization of mean absolute deviation is close to the QP formulation. When the expected returns are confronted with the true ones at the end of a six months period, the maximin portfolios seem to be the most robust of all.
Journal: Journal of The Operational Research Society - J OPER RES SOC , vol. 55, no. 11, pp. 1169-1177, 2004
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
Sort by: