Portfolio Optimization by Quadratic Programming

Authors

  • Wahyu Rianingsih Jurusan Matematika FMIPA Universitas Jember
  • Moh. Hasan Jurusan Matematika FMIPA Universitas Jember
  • Agustina Pradjaningsih Jurusan Matematika FMIPA Universitas Jember

DOI:

https://doi.org/10.19184/mims.v17i2.23758

Abstract

Portfolio is amount of investment. It determines proportion of fund that should be allocated in each investment in order to increase a certain profit with a certain risk. This research has aim to achieve an optimal result of portfolio case. Examaning this case is use quadratic programming, and then finishing with Wolfe method.

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Published

2017-09-08