Pustaka Ilmiah Universitas Padjadjaran

Abstrak

Mathematical Programming Models For Portofolio Selections

The problem of optimizing a portfolio of finitely many assets is a classical problem in theoretical and computational finance. Since the seminal work of Markowitz [112] it is generally agreed that portfolio performance should be measured in two distinct dimensions: the mean describing the expected return, and the risk which measures the uncertainty of the return. In the mean–risk approach, we select from the universe of all possible portfolios those that are efficient: for a given value of the mean they minimize the risk or, equivalently, for a given value of risk they maximize the mean. This approach allows one to formulate the problem as a parametric optimization problem, and it facilitates the trade-off analysis between mean and risk.

In the classical approach to portfolio selection, one often applies the theory of expected utility that is derived from a set of axioms concerning investor behaviour as regards the ordering relationship for deterministic and random events in the choice set. The specific nature of the axioms that characterize the utility function is based on the assumption that a probability measure can be defined on the random outcomes.

Pustaka Terkait

• On Portfolio Optimization Using Fuzzy Decisions