LINEAR AND NON-LINEAR OPTIMIZATION MODELS FOR THE SELECTION OF INVESTMENT PORTFOLIO

Author:

Gintautas~MISEVI\v{C}IUS,~Sigut\.{e}~VAKRINIEN\.{E}

2010 Mathematics Subject Classification:

91G10.

Keywords:

investment portfolio, linear programming, non-linear programming, matrix game.

Abstract:

This research suggests a maxmin model for the selection of investment portfolios. Introduction of risk evaluation coefficients results in finding the components of portfolio by solving linear programming task in one model and non-linear programming problem task in the other. In the experimental part of the research, ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to effective (Pareto optimal) realizations of portfolios.

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Mise-Vakr-2012

Vol. 7 (15), 2011