Portfolio selection with quadratic programming
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Abstract (EN)
In this study, the researcher mentions what portfolio theory is. Mean-variance model of Markowitz, said to be the founder of modern portfoliotheory, is undertaken in detail, critiques of the model and contributions to themodel are displayed.In application section, firstly limited number share model is set up andanalyzed then two stage well diversified portfolio creation alternative ismodelled. From efficient portfolios reached as a result of these two methods,optimum portfolios are found according to Sharpe criteria for each model. Inresult section optimum portfolios are compared.
Author
Faruk Kaya
How to Cite
Faruk Kaya (Master Thesis). Portfolio selection with quadratic programming, 2006, Gazi University.
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