Stock diversification and integer programming

College

Ramon V. Del Rosario College of Business

Department/Unit

Decision Sciences and Innovation Dept

Document Type

Article

Source Title

DLSU Business and Economics Review

Volume

18

Issue

2

First Page

83

Last Page

96

Publication Date

1-1-2009

Abstract

This study shows how investors can maximize returns by preparing and monitoring their own stock portfolio by using an integer programming model with an algorithm that can be computed in spreadsheet and linear programming software. Further, the study emphasizes the importance of diversifying stockholdings to reap optimal returns and minimum volatility/risk. It also suggests employing behavioral portfolio theory where goals/aspirations of investors are combined with their reward-to-volatility profile. © 2009 De La Salle University, Manila, Philippines.

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Digitial Object Identifier (DOI)

10.3860/ber.v18i2.794

Disciplines

Finance and Financial Management

Keywords

Investments; Stocks

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