DocumentCode
2156055
Title
A Portfolio Optimization Model on Condition That Short Selling Is Not Permitted
Author
Li, Shiwei
Author_Institution
Dept. of Math., China Jiliang Univ., Hangzhou, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
3
Abstract
A new optimization model on condition that short selling is not permitted is proposed based on Markowitz´s mean and variance model. This two-objective programming model can improve Markowitz´s model on one side because our new model considers both profit and risk in the objective function at the same time. Finally, the algorithm to the two-objective programming model is given.
Keywords
investment; optimisation; statistical analysis; Markowitz mean model; Markowitz variance model; objective function; portfolio optimization model; short selling condition; two-objective programming model; Biological system modeling; Computational modeling; Mathematical model; Portfolios; Programming; Quadratic programming;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5325-2
Electronic_ISBN
978-1-4244-5326-9
Type
conf
DOI
10.1109/ICMSS.2010.5576498
Filename
5576498
Link To Document