OPTIMAL PORTFOLIO ALLOCATIONS IN EMERGING EQUITY MARKETS: A MATHEMATICAL PROGRAMMING APPROACH
This paper develops an optimization model for portfolio allocations in 22 emerging equity markets by incorporating the conflicting objectives of maximizing return and minimizing risk in a single objective function. The resulting model allows users to input their risk aversion value to obtain the opt...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2004-03-01
|
| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150624122151-EPZO0.pdf |