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# Extension And Application Of Markowitz Mean-variance Model

Posted on:2011-08-09Degree:MasterType:Thesis
Country:ChinaCandidate:X H ChenFull Text:PDF
GTID:2189360308951302Subject:Probability theory and mathematical statistics
Abstract/Summary: PDF Full Text Request
In 1952,in the "Portfolio Selection",Markowitz, Harry established a mean - variance model from the relationship between risk and profit of risk assets for the first time. It has laid solid foundation for the asset pricing theory.This thesis improves and popularizes this model from the following aspects.(1) According to the characteristics of Markowitz Mean-Variance Model, this thesis discusses the way of increasing or decreasing the number of assets on the basis of optimal solution gained under asset combination in a certain number. After the change in the number of assets,we seek the optimal solution under the original solution to quicken the computing.(2)The asset combination of Markowitz Mean-Variance Model is the proportion of invest assets. In real stock market practice, exchange rules require that the number of stocks bought is integer number (For instance , the unit required in our stock purchase is hand,and one hand is 100 shares) . This thesis discusses the Markowitz model that asset combination investment will be changed into quantity of asset (hands).And each assets adds an integer number to the constraints. Then a quadratic integer programming model is constructed. According to the principle of branch and bound algorithm for linear integer programming and the Lemke algorithm for quadratic programming, this thesis shows a branch and bound algorithm and a program of the algorithm with the Matlab programming language for solving the model.
Keywords/Search Tags:Markowitz Mean-Variance Model, Portfolio, Quadratic programming, linear complementarity, Lemke algorithm, branch and bound method PDF Full Text Request
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