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An Extended Efficient Frontier Method: A Resource Allocation Application

عنوان مقاله: An Extended Efficient Frontier Method: A Resource Allocation Application
شناسه ملی مقاله: IIEC04_140
منتشر شده در چهارمین کنفرانس ملی مهندسی صنایع در سال 1384
مشخصات نویسندگان مقاله:

Doustiyan - Department of Industrial Engineering, Iran University of Science and Technology, Narmak, Tehran, Iran
Sadjadi
Makui

خلاصه مقاله:
One of the primary assumptions on traditional efficient frontier is the unique duration of return for each risky asset in portfolio. This often, makes the problem somewhat impractical since many assets have different life cycles for their return. This paper presents an extended efficient frontier method where all risky assets have different life cycles. The primary assumption of the proposed method of this paper is that all n different assets are normally distributed with known mean and variance. The implementation of the algorithm is presented by some practical examples.

کلمات کلیدی:
Quadratic Programming, Efficient Frontier, Investment

صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/17612/