Mean-Variance 수리 계획을 이용한 최적 포트폴리오 투자안 도출

• 영문명: The Optimal Mean-Variance Portfolio Formulation by Mathematical Planning
• 발행기관: 한국산업경영시스템학회
• 저자명: 김태영(Tai-Young Kim)
• 간행물 정보: 『산업경영시스템학회지』제32권 제4호, 63~71쪽, 전체 9쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2009.12.30

영문 초록

The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic programming problem Since it is now computationally practical to solve the model, a number of alternative models to overcome this complexity have been proposed In this paper, among the alternatives, we focus on the Mean Absolute Deviation (MAD) model More specifically, we developed an algorithm to obtain an optimal portfolio from the MAD model We showed mathematically that the algorithm can solve the problem to optimality We tested it using the real data from the Korean Stock Market The results coincide with our expectation that the method can solve a variety of problems in a reasonable computational time

키워드

Portfolio Investment Financial Engineering Integer Programming MAD