Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김종수 | - |
dc.date.accessioned | 2021-06-30T05:17:33Z | - |
dc.date.available | 2021-06-30T05:17:33Z | - |
dc.date.issued | 2000-10 | - |
dc.identifier.citation | 대한산업공학회 2000년도 추계학술대회 논문집, page. 380-383 | en_US |
dc.identifier.uri | https://www.dbpia.co.kr/journal/articleDetail?nodeId=NODE01954649 | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/162595 | - |
dc.description.abstract | 포트폴리오 결정에 관한 연구 The problem of selecting a portfolio is to find an investment plan that achieves a desired return while minimizing the risk involved. One stream of algorithms is based upon the mixed integer linear programming(ILP) models that are based upon the Markowitz model. These algorithms can generate optimal solutions but require too much time to apply to real problems. As an alternative approach, several heuristic algorithms are introduced by many authors. In this paper, we introduce an algorithm for the ILP portfolio problems. The proposed algorithm is tested using Korean stock market data to verify its accuracy and efficiency. We find that our algorithm can generate solutions of good quality in a considerably short time. | en_US |
dc.language.iso | ko_KR | en_US |
dc.publisher | 대한산업공학회 | en_US |
dc.subject | Integer Programming | en_US |
dc.subject | Finance | en_US |
dc.title | 포트폴리오 결정을 위한 효율적 알고리듬 | en_US |
dc.title.alternative | An Efficient Algorithm for Portfolio Selection Problem | en_US |
dc.type | Article | en_US |
dc.relation.journal | 대한산업공학회지 | - |
dc.contributor.googleauthor | 이동원 | - |
dc.contributor.googleauthor | 김종수 | - |
dc.relation.code | 2012100333 | - |
dc.sector.campus | E | - |
dc.sector.daehak | COLLEGE OF ENGINEERING SCIENCES[E] | - |
dc.sector.department | DEPARTMENT OF INDUSTRIAL AND MANAGEMENT ENGINEERING | - |
dc.identifier.pid | pure | - |
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