Using Quadratic Programming in Determine Optimal investment portfolio: With reference to bank sector in Iraqi Financial Market

Ahmad H. Battal

Fulltext

Using Quadratic Programming in Determine Optimal investment portfolio: With reference to bank sector in Iraqi Financial Market

Ahmad H. Battal

AL-Anbar University journal of Economic and Administration Sciences
2008, Volume 1, Issue 2, Pages 5-20

Abstract

The investment portfolio is a tool composed of at least two assets or more, and the goal from owning portfolio is to maximize the market value and achieve the optimum employment for these assets. Selection investment portfolio is one of the models used in modern financial markets and contained a large proportion of the risk.The aim of the this paper is to clarify how can employ Quadratic Programming as a way to determine the optimal investment portfolio. We used Excel Solver Spreadsheets to find the optimal portfolio on the actual historical data of the selected sample from the Iraqi financial market.

Keywords

optimal investment portfolio, Quadratic Programming, Risk and return, Speared sheet and financial markets

Year	Total	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2023	165	49	47	38	31
2022	507	40	50	60	37	40	49	45	40	19	49	40	38
2021	629	28	32	14	32	16	54	13	24	23	63	191	139
2020	1251	26	49	59	67	104	433	242	129	96	11	17	18
2019	341	39	37	49	26	23	13	2	7	21	32	48	44
2018	1012	89	52	110	288	138	70	10	14	13	68	93	67
2017	1084	132	124	88	105	56	22	30	23	28	137	195	144
2016	943			86	118	82	12	23	28	30	134	251	179
2015	1241	108	136	121	132	59	31	32	33	43	122	285	139
2014	1215	61	53	66	86	101	43	165	47	43	179	176	195
2013	576	54	68	57	73	66	14	8	10	14	42	85	85
2012	114							9	5	9	20	50	21

Using Quadratic Programming in Determine Optimal investment portfolio: With reference to bank sector in Iraqi Financial Market

Abstract

Keywords

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