An Approach Based on Active Constraint Strategy for Solving The Portfolio Optimization Problem

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[HTML][HTML] Robust covariance estimators for mean-variance portfolio optimization with transaction lots

D Rosadi, EP Setiawan, M Templ… - Operations Research …, 2020 - Elsevier
This study presents an improvement to the mean-variance portfolio optimization model, by
considering both the integer transaction lots and a robust estimator of the covariance …
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Analisis Portofolio Saham Optimal Dengan Metode Markowitz Dan Model Indeks Tunggal Pada Saham Perbankan Bursa Efek Indonesia

MF Mingka, RS Lubis - Jurnal Lebesgue: Jurnal Ilmiah …, 2023 - lebesgue.lppmbinabangsa.id
A portfolio is a combination of assets with a desired rate of return as well as risks that can be
minimized by spreading risks across different assets. The LQ45 index contains 45 …
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