Search Results - subject:"Generalized reduced gradient nonlinear algorithm"

Portfolio optimization using the generalized reduced gradient nonlinear algorithm : An application to Amman Stock Exchange

Alrabadi, Dima Waleed Hanna - In: International Journal of Islamic and Middle Eastern … 9 (2016) 4, pp. 570-582

Purpose This study aims to utilize the mean–variance optimization framework of Markowitz (1952) and the generalized reduced gradient (GRG) nonlinear algorithm to find the optimal portfolio that maximizes return while keeping risk at minimum. Design/methodology/approach This study applies the...

Persistent link: https://www.econbiz.de/10014826818

Portfolio optimization using the generalized reduced gradient nonlinear algorithm : an application to Amman Stock Exchange

Dima Waleed Hanna Alrabadi - In: International journal of Islamic and Middle Eastern … 9 (2016) 4, pp. 570-582

Persistent link: https://www.econbiz.de/10011659570