Optimization and Empirical Analysis of Portfolio Model
Rui Zhang1, Fang Chen2
1Rui Zhang, Department of Mathematics and Finance, Hunan University of Humanities Science and Technology Loudi, China.
2Fang Chen, Department of Mathematics and Finance, Hunan University of Humanities Science and Technology Loudi, China.
Manuscript received on May 03, 2018. | Revised Manuscript received on May 09, 2018. | Manuscript published on May 15, 2018. | PP: 1-3 | Volume-5, Issue-5, May 2018. | Retrieval Number: E1068055518
Open Access | Ethics and Policies | Cite
© The Authors. Published By: Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: Because the investor’s subjective risk preference and the choice of the parameter is different, this paper makes a mathematical modeling for the multi objective portfolio model and transforms it into a single target model. On the other hand, the parameter function is transformed into a linear programming problem, and the optimal investment combination scheme is obtained. Investors can directly choose their own investment direction and make an empirical analysis based on two opposing goals, which are as large as possible and risk as small as possible.
Keywords: Optimization of Portfolio Model, Mathematical Modeling, Linear Programming, Empirical Analysis.