Global Optimization Method For Minimizing Portfolio Selection Risk

Authors

  • Lee Chang Kerk UiTM
  • Nurkhairany Amyra Mokhtar
  • Palaniappan Shamala
  • Basri Badyalina

Abstract

This study employed the global optimization method called Modified Trusted Region Method (MTRM) to resolve the portfolio selection risk problem. An objective of unconstrained optimization problem was formulated with four sets of fund data. The relationship between the level of acceptable risk and the weighting factor was analyzed numerically. The return of portfolio increased along with the level of acceptable risk since a high return was always accompanied by higher risk. By contrast, the risk of portfolio decreased as the weighting factor increased. The MTRM could resolve the portfolio optimization problem.

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Published

2022-08-15

How to Cite

Kerk, L. C., Mokhtar, N. A. ., Shamala, P. ., & Badyalina, B. . (2022). Global Optimization Method For Minimizing Portfolio Selection Risk. MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 38(2), 115–123. Retrieved from https://matematika.utm.my/index.php/matematika/article/view/1403

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