Risk Return Optimization Using the Knapsack Problem in The Formation of a Stocks Portfolio. Case Study of a Brazilian Investment Site.
Keywords:Integer programming, Knapsack Problem, Variance Risk, Efficient Frontier
In this work, the composition of a portfolio was proposed by using the Knapsack problem and verified its effectiveness in comparison to a portfolio of shares on an investment website. The programming variables were based on the Markowitz risk theory of variance and following collaborators for their studies. And from the chosen portfolio, the efficient frontier was elaborated analyzing the performance of the investment site portfolio during 30 days. The portfolio obtained exceeded the percentage performance obtained from the investment site in the same period when considering the maximum possible return, the minimum global variance and also in the naive distribution.
Cibulskienė, D. and Grigaliūnienė, Z. (2007). The Genesis and Development of Modern Portfolio Theory, Economics and Management: Current Issues and Perspectives, p. 52–61, Šiauliai University.
Galinienė, B and Stravinskytė, J.(2016). Constructing an optimal investment portfolio for the bank of Lithuania, Ekonomika, 2016, Vol. 95(1).
Gupta, P, Mehlawat, K and Saxena, A.(2010). “A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality,” Information Sciences, vol. 180, no. 11, pp. 2264–2285, 2010.
Investment and Finance. Portfolio Management. (2020). Available at: https://www.investment-and-finance.net/portfolio-management/e/efficient-frontier.html. Acessado em 30 de julho.
Konno, H and Yamazaki, H. (1991). “Mean-absolute deviation portfolio. Optimization model and its applications to Tokyo stockmarket,”. Management Science, vol. 37, no. 5, pp. 519–531.
Malaj, E and Malaj, V. (2016). Portfolio Allocation: An Empirical Analysis of Ten American Stocks for the Period 2010-2015. International Journal of Accounting, Finance and Risk Management. Vol. 1, No. 1, 2016, pp. 11-18.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, vol.7, no. 1, pp. 77–91, 1952.
Morita, H. (1989). Stochastic linear knapsack programming problem and its application to a portfolio selection problem. European Journal of operational Research, vol. 3, no. 4, pp. 329-336, 1989.
Sekar, G. (2012). “Portfolio optimization using neuro fuzzy system in Indian stock market,” Journal of Global Research in Computer Science, vol. 3, no. 4, pp. 44–47, 2012.
Sharpe, W. (1971). A linear programming approximation for the general portfolio.(1971a).
analysis problem. Journal of Financial and Quantitative Analysis 6, 1263–1275.
Sharpe, W.(1971). Mean-absolute deviation characteristic lines for securities and portfolios. Management Science 18, B1–B13
Speranza, M. (1993). “Linear programming models for portfolio optimization,” Finance, vol. 14, pp. 107–123, 1993..+
How to Cite
Copyright (c) 2020 Nicolas Sampaio Bevilaqua, OCILEIDE Custodio da Silva, GABRIELA DE MATTOS VERONEZE
This work is licensed under a Creative Commons Attribution-NoDerivatives 4.0 International License.
Submission of an article implies that the work described has not been published previously (except in the form of an abstract or as part of a published lecture or academic thesis), that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, in English or in any other language, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.
Copyrights for articles published in IJIER journals are retained by the authors, with first publication rights granted to the journal. The journal/publisher is not responsible for subsequent uses of the work. It is the author's responsibility to bring an infringement action if so desired by the author.