Title :
A Portfolio Optimization Model on Condition That Short Selling Is Not Permitted
Author_Institution :
Dept. of Math., China Jiliang Univ., Hangzhou, China
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;
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
DOI :
10.1109/ICMSS.2010.5576498
