APPLICATION OF QUADRATIC PROGRAMMING ON PORTFOLIO OPTIMIZATION USING WOLFE’S METHOD AND PARTICLE SWARM OPTIMIZATION ALGORITHM

Stock portfolios can be modeled into quadratic programming problems using the Markowitz mean-variance model. Quadratic programming problems can be solved using two methods, namely classical and heuristic methods. In this research, the classical method uses Wolfe’s method, while the heuristic method...

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Detalhes bibliográficos

Principais autores:	Syaripuddin Syaripuddin, Fidia Deny Tisna Amijaya, Wasono Wasono, Shanaz Tulzahrah, Rara Suciati
Formato:	Artigo
Idioma:	Inglês
Publicado em:	Universitas Pattimura 2024-05-01
coleção:	Barekeng
Assuntos:	markowitz mean-variance optimal portfolio particle swarm optimization (pso) quadratic programming wolfe’s method
Acesso em linha:	https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/11610
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