Global Optimization Method For Minimizing Portfolio Selection Risk

Matematika

article

Lee Chang Kerk¹  Nurkhairany AmyraMokhtar²  PalaniappanShamala²  BasriBadyalina² 

[1] UiTM;Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA Cawangan Johor Kampus Segamat

关键词: Global optimization;    homotopy;    portfolio theory;    risk;    trust region;   

DOI  :  10.11113/matematika.v38.n2.1403

学科分类：社会科学、人文和艺术（综合）

来源: Universiti Teknologi Malaysia * Fakulti Sains

【 摘 要 】

This study employed the global optimization method called Modified Trusted Region Method (MTRM) to resolve the portfolio selection risk problem. An objective of unconstrained optimization problem was formulated with four sets of fund data. The relationship between the level of acceptable risk and the weighting factor was analyzed numerically. The return of portfolio increased along with the level of acceptable risk since a high return was always accompanied by higher risk. By contrast, the risk of portfolio decreased as the weighting factor increased. The MTRM could resolve the portfolio optimization problem.

【 授权许可】

Unknown