Portfolio Optimization with Mean-Variance Model

被引：1
|
作者：
Hoe, Lam Weng [1 ,2 ]
Siew, Lam Weng [1 ,2 ]
机构：
[1] Univ Tunku Abdul Rahman, Dept Phys & Math Sci, Fac Sci, Kampar Campus,Jalan Univ, Kampar 31900, Perak, Malaysia
[2] Univ Tunku Abdul Rahman, Ctr Business & Management, Kampar Campus,Jalan Univ, Kampar 31900, Perak, Malaysia
来源：
INNOVATIONS THROUGH MATHEMATICAL AND STATISTICAL RESEARCH: PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND STATISTICS (ICMSS2016) | 2016年 / 1739卷
关键词：
D O I：
10.1063/1.4952526
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Investors wish to achieve the target rate of return at the minimum level of risk in their investment. Portfolio optimization is an investment strategy that can be used to minimize the portfolio risk and can achieve the target rate of return. The mean-variance model has been proposed in portfolio optimization. The mean-variance model is an optimization model that aims to minimize the portfolio risk which is the portfolio variance. The objective of this study is to construct the optimal portfolio using the mean-variance model. The data of this study consists of weekly returns of 20 component stocks of FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The results of this study show that the portfolio composition of the stocks is different. Moreover, investors can get the return at minimum level of risk with the constructed optimal mean-variance portfolio.
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页数：3
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