QUADRATIC PROGRAMMING: AN OPTIMIZATION TOOL FOR BUILDING GLOBAL MINIMUM VARIANCE PORTFOLIO WITH NO SHORT SALE

  • Nurwahidah Nurwahidah UIN Alauddin Makassar
DOI: https://doi.org/10.30598/barekengvol15iss2pp305-314
Keywords: Quadratic Programming, Global Minimum Variance., Portfolio,

Abstract

Quantitative method in portfolio selection is a fascinating issue to make a decision in investment. Portfolio optimization is a very important to manage investment risk. There are many papers dealing with the Markowitz portfolio model, but not all of the papers studied about positive weight portfolio or no short sale constrained portfolio. Positive weight portfolio describes that short sale is allowed for the investor. While, short sale is banned in a certain economic condition due to its ability in decreasing stock market index. Besides, Islamic capital market does not allow speculative transaction such as short selling. Hence, portfolio with no short sale constraint is needed. This study aims to build Global Minimum Variance Portfolio (GMVP) with no short sale constraint. The GMVP with positive asset allocation based on Markowitz model can be built by using quadratic programming with interior point method. The main theory applied in this research is Markowitz portfolio optimization model. Mean and variance of stocks closing price are two things that should be considered in this model. The result shows that the positive weight of GMVP includes 0% of ADRO shares; 2, 65% of ANTM shares; 0% of CTRA shares; 30,27% of EXCL shares; 37,21% of ICBP shares; 3,37% of INCO shares; 13,89% of KLBF shares; 0% of PGAS shares; and 12,61% of PTBA shares.  

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Published
2021-06-01
How to Cite
[1]
N. Nurwahidah, “QUADRATIC PROGRAMMING: AN OPTIMIZATION TOOL FOR BUILDING GLOBAL MINIMUM VARIANCE PORTFOLIO WITH NO SHORT SALE”, BAREKENG: J. Math. & App., vol. 15, no. 2, pp. 305-314, Jun. 2021.
Issue
Vol 15 No 2 (2021): BAREKENG: Jurnal Ilmu Matematika dan Terapan
Section
Articles

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