Publicação
Quadratic programming versus second order con programming in portfolio optimization
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Eça, Afonso Fuzeta | |
| dc.contributor.author | Talina, Bernardo Júdice Franqueira Cotrim | |
| dc.date.accessioned | 2016-03-15T15:58:43Z | |
| dc.date.available | 2016-03-15T15:58:43Z | |
| dc.date.issued | 2016-01 | |
| dc.description.abstract | Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies. | pt_PT |
| dc.identifier.tid | 201523558 | |
| dc.identifier.uri | http://hdl.handle.net/10362/16803 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Portfolio optimization | pt_PT |
| dc.subject | Second order cone programming | pt_PT |
| dc.subject | Quadratic programming | pt_PT |
| dc.title | Quadratic programming versus second order con programming in portfolio optimization | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |