Optimization Models for the Growth Portfolio
碩士 === 國立政治大學 === 應用數學研究所 === 95 === This thesis presents three linear programming models for selection of the growth portfolio based on historical data. The objective functions of these models are described by goal programming. The first model employs the principle of minimizing the deviation of th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81195806924811048569 |
| Summary: | 碩士 === 國立政治大學 === 應用數學研究所 === 95 === This thesis presents three linear programming models for selection of the growth portfolio based on historical data. The objective functions of these models are described by goal programming. The first model employs the principle of minimizing the deviation of the value-increasing index. The second model employs the mini-max principle. The third model is derived from the first model and includes the timing effect of historical data during construction of portfolio. The computational results and performance are illustrated by modeling with realistic data from the Taiwan stock market.
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