Analysis of Portfolio Optimization with Inequality Constraints

Sukmana, Agus; Liem, Chin; Chendra, Erwinna

dc.contributor.author	Sukmana, Agus
dc.contributor.author	Liem, Chin
dc.contributor.author	Chendra, Erwinna
dc.date.accessioned	2019-10-29T04:37:51Z
dc.date.available	2019-10-29T04:37:51Z
dc.date.issued	2019
dc.identifier.issn	1742-6596 (0nline)
dc.identifier.other	artsc441
dc.identifier.uri	http://hdl.handle.net/123456789/9400
dc.description	JOURNAL OF PHYSICS: CONFERENCE SERIES; Vol. 1218 (2019) 012030. p. 1-5.	en_US
dc.description.abstract	In investing, generally an investor wants an optimum portfolio. This means that the forming portfolio has minimum risk, maximum return or can also be a combination of both with other constraints determined by the investor. These constraints could be in the form of short selling, amount of owning funds, return target, risk target or other constraints. Short selling constraints are inequality in the mathematical model, while other constraints can be in the form of equalities or inequalities. This paper discusses the portfolio optimization with these inequality constraints. In addition, we will provide an example for this portfolio optimization application by analysing portfolio that consists of shares in the LQ45 index. We do this analysis with Solver that is available in Microsoft Excel.	en_US
dc.description.uri	https://iopscience.iop.org/article/10.1088/1742-6596/1218/1/012030
dc.language.iso	en	en_US
dc.publisher	IOP Science Publishing	en_US
dc.relation.ispartofseries	IOP CONFERENCE SERIES: JOURNAL OF PHYSICS;1218 (2019) 012030.
dc.title	Analysis of Portfolio Optimization with Inequality Constraints	en_US
dc.type	Journal Articles	en_US