The algorithms for searching the global extremum of the Markowitz portfolio optimization model
- Authors: Ulanov D.A.1, Lyndin K.A.1
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Affiliations:
- Financial University under the Government of the Russian Federation
- Issue: Vol 16, No 2 (2020)
- Pages: 166-169
- Section: Articles
- URL: https://journals.eco-vector.com/2541-8025/article/view/532538
- ID: 532538
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Abstract
This article is devoted to the problem of finding the optimal stock portfolio that meets the desired ratio of expected income and risk for the investor. The main task is to find a method that minimizes the cost of resources and time to find the optimal portfolio. There are two methods of achieving the task presented and their assessment is carried out. The first method involves finding the optimal portfolio by generating portfolios with restrictions on the share of securities, while the second involves working with the allocation of an effective set. According to the results of the study, it was concluded that generation with restrictions without loss of global extrema is impossible and the need to search for an effective set is obvious.
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About the authors
Denis A. Ulanov
Financial University under the Government of the Russian Federation
Email: ulanovdenis98@gmail.com
Moscow, Russian Federation
Kirill A. Lyndin
Financial University under the Government of the Russian Federation
Email: kirill.lyndin@gmail.com
Moscow, Russian Federation
References
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