DOI: 10.5176/2251-1911_CMCGS17.10

Authors: L. P. Ranasinghe, S.S.N. Perera and J. K. Wijerathna

Abstract: Many techniques are available to find the optimum portfolio asset allocation. Most of these techniques mainly depend on empirical data. This case study is an attempt to incorporate the investors’ views/outlook as an additional factor. The Portfolio is constructed by considering three options (Bonds, Stocks and Deposits) and four levels of opinions are also included. The fluctuation is classified as “growth,” “median growth,” “No change” and “low growth”. The above classification is calculated as percentages and each classification is then weighted using different values. The optimization problem is defined by introducing opinion/view as control variables. Sensitivity analysis is conducted with respect to control variable.

Keywords: bond; stock; deposit; optimization; linear programing


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