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: 『한국산업경영시스템학회 학술대회』2008년 춘계학술대회 논문집, 9~18쪽, 전체 10쪽
• 주제분류: 공학 > 산업공학
• 파일형태: PDF
• 발행일자: 2008.05.30

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.

목차

1. 서론

2. 수리 모형

3. 해법

4. 수치예제

5. 결론

키워드

Portfolio Integer Programming MAD