Since 2014
Stock Diversification and Integer Programming
DLSU Business & Economics Review
View Archive Info| Field | Value | |
| Title |
Stock Diversification and Integer Programming
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| Creator |
Sarreal, Emilina R; De La Salle University
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| Subject |
Economics
Portfolio theory, mixed-integer programming, zero-one integer programming, reward-to-volatility ratio |
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| Description |
This study shows how investors can maximize returns by preparing and monitoring their own stock portfolio by using an integer programming model with an algorithm that can be computed in spreadsheet and linear programming software. Further, the study emphasizes the importance of diversifying stockholdings to reap optimal returns and minimum volatility/risk. It also suggests employing behavioral portfolio theory where goals/aspirations of investors are combined with their reward-to-volatility profile. Keywords: Portfolio theory, mixed-integer programming, zero-one integer programming, reward-to-volatility ratio
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| Publisher |
De La Salle University
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| Contributor |
—
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| Date |
2009-02-03
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| Type |
Peer-reviewed Article
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| Format |
application/pdf
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| Identifier |
http://www.philjol.info/philjol/index.php/BER/article/view/794
10.3860/ber.v18i2.794 |
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| Source |
DLSU Business & Economics Review; Vol 18, No 2 (2009); 83-96
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| Language |
en
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| Coverage |
Philippines
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