Linear and non-linear optimization models for the selection of investment portfolio

This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other.  In the experimental part of the resea...

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Bibliographic Details
Published in:Lietuvos Matematikos Rinkinys
Main Authors: Sigutė Vakrinienė, Gintautas Misevičius
Format: Article
Language:English
Published: Vilnius University Press 2021-06-01
Subjects:
investment portfolio
linear programming
non-linear programming
matrix game
Online Access:https://www.journals.vu.lt/LMR/article/view/24233

Internet

https://www.journals.vu.lt/LMR/article/view/24233

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