Using the nonlinear GRG algorithm to build the optimal stock portfolio
Analytical study of the Iraqi Stock Exchange
Keywords:
portfolio optimum, nonlinear generalized reduced gradient (GRG) algorithm, efficient frontier, modern portfolio theoryAbstract
The concept of diversification is the essence of what was brought by Markowitz’s modern portfolio theory in 1952, if Markowitz gave a description of the efficient frontier that constitutes a group of efficient portfolios that lead to the highest return at a certain level of risk or that lead to the lowest risk at a certain level of return in preparation for determining the portfolio optimal risk. Despite the development brought about by the modern portfolio theory, it suffers from the difficulty of its practical application represented by the problem of quadratic programming. In this study, we will solve the problem of quadratic programming in preparation for enabling the investor to choose the optimal portfolio through the nonlinear optimization algorithm called the nonlinear generalized reduced gradient algorithm (GRG).
References
- Maginn, John L., et al., eds. Managing investment portfolios: a dynamic process. Vol. 3. John Wiley & Sons, 2007.
- Hagin, Robert L. "Investment managment : Portfolio Diversification, Risk, and Timing—Fact and Fiction , John Wiley & Sons, Inc. ,2004 .
- Francis, Jack Clark, and Dongcheol Kim. "Modern portfolio theory: Foundations, analysis, and new developments". Vol. 795. John Wiley & Sons, 2013.
- Corrado , Charles J. and Jordan , Bradford D. , "Fundamentals of Investments", 2nd ed , Mcgraw-Hill , 2001.
- Reilly, Frank K., and Keith C. Brown. , "Investment Analysis and Portfolio Management " ,6th ed Cengage Learning, 2011.
- Hiriyappa, B. "Investment management: Securities and portfolio management". New Age International (P) Limited, Publishers, 2008.
- Jones, Charles P." Investments: analysis and management". 12 ed John Wiley & Sons, 2013.
البحوث المنشورة
- OSAYI, Valentine Igbinedion, Hyeladi Stanley EZUEM, and Moyotole Daniel. "Risk Management Approach and Banks’ Portfolio Investment Performance in Nigeria." Risk Management 10.6 (2019).
- Markowitz , Harry ," Portfolio Selection" , The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91.
- Han , Bai , "How MPT Works in Reality?", A thesis submitted in partial satisfaction of the requirements for the degree Master of Science in Statistics , UNIVERSITY OF CALIFORNIA, Los Angeles ,2013
- Michaud, Richard O. "The Markowitz optimization enigma: Is ‘optimized’optimal?." Financial analysts journal 45.1 (1989): 31-42.
- Anagnostopoulos, K. P., and G. Mamanis. "Finding the efficient frontier for a mixed integer portfolio choice problem using a multiobjective algorithm." (2009).
- Pinate, Marinella and Oscar Oropeza , Portfolio Construction Modern Portfolio Theory , Fall 2013.
- Elton, Edwin J., Martin J. Gruber, and Manfred W. Padberg. "Simple criteria for optimal portfolio selection." The Journal of Finance 31.5 (1976): 1341-1357.
- Du Plessis, A. J., and Michael Ward. "A note on applying the Markowitz portfolio selection model as a passive investment strategy on the JSE." Investment Analysts Journal 38.69 (2009): 39-45.
- Maia, A. , Ferreira E. , Oliveira M.C., Menezes L.F. , A. Andrade-Campos ,"Numerical optimization strategies for springback compensation in sheet metal forming." Computational methods and production engineering. Woodhead Publishing, 2017. 51-82.
- Yeniay, Ozgur. "A comparative study on optimization methods for the constrained nonlinear programming problems." Mathematical Problems in Engineering 2005.2 (2005): 165-173.
- Lasdon, Leon S., Waren A.D ,Jain Arvind and Ratner Margery, "Design and testing of a generalized reduced gradient code for nonlinear programming." Ttchnical report sol 76-5,systems optimiation laboratory department of operations research, 1975 .
- Lasdon, Leon S., Waren A.D ,Jain Arvind and Ratner Margery, "Design and testing of a generalized reduced gradient code for nonlinear programming." ACM Transactions on Mathematical Software (TOMS) 4.1 (1978): 34-50.
- Mantell, J. B., and Leon S. Lasdon. "A GRG algorithm for econometric control problems". No. c10545. National Bureau of Economic Research, 1977.
البحوث غير المنشورة
Swaminathan, S. Sivarajan , "Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions" , A thesis submitted to the University of Manchester for the degree of Doctor of Business Administration in the Faculty of Humanities , 2018.
الانترنت
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2022 Economics and Administration College - Karbala University
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Authors retain the copyright of their papers without restrictions.
