Proceedings of the Korean Operations and Management Science Society Conference (한국경영과학회:학술대회논문집)
- 2000.04a
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- Pages.65-68
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- 2000
An Algorithm for Portfolio Selection Model
- Kim, Yong-Chan (Department of Industrial Engineering, Hanyang University) ;
- Shin, Ki-Young (Department of Industrial Engineering, Hanyang University) ;
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Kim, Jong-Soo
(Department of Industrial Engineering, Hanyang University)
- Published : 2000.04.01
Abstract
The problem of selecting a portfolio is to find Un investment plan that achieves a desired return while minimizing the risk involved. One stream of algorithms are based upon mixed integer linear programming models and guarantee an integer optimal solution. But these algorithms require too much time to apply to real problems. Another stream of algorithms are fur a near optimal solution and are fast enough. But, these also have a weakness in that the solution generated can't be guaranteed to be integer values. Since it is not a trivial job to tansform the scullion into integer valued one simutaneously maintaining the quality of the solution, they are not easy to apply to real world portfolio selection. To tackle the problem more efficiently, we propose an algorithm which generates a very good integer solution in reasonable amount of time. The algorithm is tested using Korean stock market data to verify its accuracy and efficiency.
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