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

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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Bibliographic Details
Main Authors: Syaripuddin Syaripuddin, Fidia Deny Tisna Amijaya, Wasono Wasono, Shanaz Tulzahrah, Rara Suciati
Format: Article
Language:English
Published: Universitas Pattimura 2024-05-01
Series:Barekeng
Subjects:
markowitz mean-variance
optimal portfolio
particle swarm optimization (pso)
quadratic programming
wolfe’s method
Online Access:https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/11610
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https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/11610

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