QP is the optimization of a quadratic function subject to linear equality and inequality constraints. It arises in multiple objective decision making where the departure of the actual decisions from their corresponding ideal, or bliss, value can be evaluated using a weighted quadratic norm as a measure of deviation. The formulation of mean-variance optimization of uncertain systems also leads t...

In the financial market, investment portfolio is always a popular topic that investors are interested in and look forward to exploring as well. Since it does affect expected return risk of their investment. this paper, focusing on two main models Markowitz model index model. The paper also collect data from stock market analyze different under constraints have own practical meaning. result 5 co...

We propose and study a new technique for aggregating an ensemble of bootstrapped classifiers. In this method we seek a linear combination of the base-classifiers such that the weights are optimized to reduce variance. Minimum variance combinations are computed using quadratic programming. This optimization technique is borrowed from Mathematical Finance where it is called Markowitz Mean-Varianc...

We discuss the global optimization of the higher order moments of a portfolio of financial assets. The proposed model is an extension of the celebrated mean variance model of Markowitz. Asset returns typically exhibit excess kurtosis and are often skewed. Moreover investors would prefer positive skewness and try to reduce kurtosis of their portfolio returns. Therefore the mean variance model (a...

Abstract—Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be include...

Fuel diversification implies the selection of a mix of generation technologies for long-term electricity generation. The goal is to strike a good balance between reduced costs and reduced risk. The method of analysis that has been advocated and adopted for such studies is the mean-variance portfolio analysis pioneered by Markowitz (1959). However the standard mean-variance methodology, does not...

This paper constructs a minimum-variance portfolio of six agricultural futures. We make full sample analysis as well pre-COVID and COVID examination. Using Markowitz optimisation, we find that soybean futures have the highest share (31%) in because it has lowest variance. Both oil rice second weight portfolio, an amount 24%, variance, whereas has, by far, average correlation with other Soybean ...