Nowadays, investing in stocks is great demand, especially among young people Indonesia. In investing, investors will be faced with various problems developing a good portfolio, including determining the assets for investment and amount of capital required. Therefore, this study aims to determine how choose proportion invest order form an optimal portfolio. study, Markowitz model used specifical...

Markowitz Model (MM) and Sharpe’s Single Index (SIM) are two classical practical models in portfolio theory. Currently the Chinese stock market is booming, therefore, it worth testing whether MM SIM can effectively spread risk security market. This paper establishes based on monthly observations of 10 stocks CSI300. During analysis process, there an additional optimization constraint that selli...

occurrence of chaotic behaviors because of fluctuations creation and their intensified transfer along the chain is one of the main causes of inefficiency of material requirements planning (mrp) based supply chains. one of the reasons of the inefficiency is the lumpiness phenomenon. through this phenomenon, some parts have an irregular production schedule, with nothing produced in some periods a...

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular...

This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate class of affine and quadratic Volterra models. In this incomplete non-Markovian nonsemimartingale market framework unbounded random coefficients, optimal strategy is expressed by means Riccati backward stochastic differ...