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Mean-Variance 수리 계획을 이용한 최적 포트폴리오 투자안 도출 KCI 등재
The Optimal Mean-Variance Portfolio Formulation by Mathematical Planning
한국산업경영시스템학회지
(Journal of Society of Korea Industrial and Systems Engineering)
Vol. 32 No. 4 (2009.12)
pp.63-71
pp.63-71
한국산업경영시스템학회
(Society of Korea Industrial and Systems Engineering)
초록
The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic prog
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