Portofolio saham merupakan salah satu alternatif bagi investor dalam pengambilan keputusan investasi. Saham portofolio dapat dimodelkan ke model pemrograman kuadratik dengan menggunakan mean variance Markowitz yang diselesaikan metode Beale. Penelitian ini bertujuan untuk mencari hasil optimal dari saham. Data digunakan penelitian adalah data 10 perusahaan membagikan dividen terbesar kategori I...

Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the one hand, improved estimators of the necessary moments have been developed and on the other hand, heuristic methods have been generated to enhance the portfolio performance, for instance the "resampled efficiency" of Michaud (1998). We compare the out-ofsample performance of tr...

Portfolio management starts with asset allocation. There is a consensus that asset allocation plays an important role in determining portfolio performance (Arshanapalli, Coggin & Nelson, 2001). Active portfolio management implies the rebalancing of the existing portfolio by buying and selling assets. The aim of rebalancing is to improve the performance of the managed portfolio by adjusting it t...

The Markowitz model of portfolio optimization quantifies the problem in a lucid form of only two criteria: the mean, representing the expected outcome, and the risk, a scalar measure of the variability of outcomes. The classical Markowitz model uses the variance as the risk measure, thus resulting in a quadratic optimization problem. Following Sharpe’s work on linear approximation to the mean–v...

We recommend an implementation of the Markowitz problem to generate stable portfolios with respect to perturbations of the problem parameters. The stability is obtained proposing novel calibrations of the covariance matrix between the returns that can be cast as convex or quasiconvex optimization problems. A statistical study as well as a sensitivity analysis of the Markowitz problem allow us t...

The amount of fill-in occurring in the factorization can vary from zero to complete fill, and can be controlled by specifying either the maximum level of fill LFILL, or the drop tolerance DTOL. The factorization may be modified in order to preserve row sums, and the diagonal elements may be perturbed to ensure that the preconditioner is positive-definite. Diagonal pivoting may optionally be emp...

The amount of fill-in occurring in the factorization can vary from zero to complete fill, and can be controlled by specifying either the maximum level of fill LFILL, or the drop tolerance DTOL. The factorization may be modified in order to preserve row sums, and the diagonal elements may be perturbed to ensure that the preconditioner is positive-definite. Diagonal pivoting may optionally be emp...

Rational investors tend to diversify their asset for reducing investment risk. Markowitz portfolio model can be an strategy minimize risk and maximize return of investment. This study establishes the with positive weight constraints determined target returns. Quadratic programming is approach used determine proportion each stock in portfolio. Therefore, 5 efficient portfolios less level than in...