Portfolio optimization problems with linear programming models
In this paper, we discuss four models proposed by Konno, Cai, Teo and Markowitz respectively. Two groups of data (one from 33 securities over 72 months, the other from 63 securities over 120 months) are used to examine these models. E±cient frontiers are presented. The utility levels in the four models do not decrease at the same rate with the change of the risk-aversion factor. Cai’s model provides the highest utility value and Markowitz’s provides the lowest one in most cases. When the expected returns are confronted with the true ones at the end of a 10-month period, Markowitz’s and Konno’s models seem to have similar tendencies while Cai’s and Teo’s models seem to have similar tendencies, and the four models get higher true wealth compared with Nikkei 225 and Nikkei 500 index respectively in most cases.
Portfolio selection Mean absolute deviation Linear programming Quadratic programming
Mei Yu Hiroshi Inoue Jianming Shi
School of Finance & Banking, University of International Business and Economics, 100029, Beijing,Chi School of Management, Tokyo University of Science,Kuki-shi Saitama, 346-8512, Japan. Department of Computer Science and Systems Engineering, Muroran Institute of Technology, 27-1Mizumot
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）