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Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost

Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfoli...

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Main Authors:	Norhidayah, Ab Razak,, Karmila Hanim, Kamil,, Siti Masitah, Elias,
Format:	Conference Paper
Language:	en_US
Published:	Amer Inst Physics 2015
Subjects:	Optimization model transaction cost Shariah compliant securities
Online Access:	http://ddms.usim.edu.my/handle/123456789/8962
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id	my.usim-8962
record_format	dspace
spelling	my.usim-89622015-08-05T03:23:43Z Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost Norhidayah, Ab Razak, Karmila Hanim, Kamil, Siti Masitah, Elias, Optimization model transaction cost Shariah compliant securities Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfolio allocation and performance generated by quadratic and linear portfolio optimization models namely of Markowitz and Maximin model respectively. The application of these models has been proven to be significant and popular among others. However transaction cost has been debated as one of the important aspects that should be considered for portfolio reallocation as portfolio return could be significantly reduced when transaction cost is taken into consideration. Therefore, recognizing the importance to consider transaction cost value when calculating portfolio' return, we formulate this paper by using data from Shariah compliant securities listed in Bursa Malaysia. It is expected that, results from this paper will effectively justify the advantage of one model to another and shed some lights in quest to find the best decision making tools in investment for individual investors. 2015-08-05T03:23:43Z 2015-08-05T03:23:43Z 2014-01-01 Conference Paper 978-0-7354-1236-1 0094-243X http://ddms.usim.edu.my/handle/123456789/8962 en_US Amer Inst Physics
institution	Universiti Sains Islam Malaysia
building	USIM Library
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universit Sains Islam i Malaysia
content_source	USIM Institutional Repository
url_provider	http://ddms.usim.edu.my/
language	en_US
topic	Optimization model transaction cost Shariah compliant securities
spellingShingle	Optimization model transaction cost Shariah compliant securities Norhidayah, Ab Razak, Karmila Hanim, Kamil, Siti Masitah, Elias, Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
description	Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfolio allocation and performance generated by quadratic and linear portfolio optimization models namely of Markowitz and Maximin model respectively. The application of these models has been proven to be significant and popular among others. However transaction cost has been debated as one of the important aspects that should be considered for portfolio reallocation as portfolio return could be significantly reduced when transaction cost is taken into consideration. Therefore, recognizing the importance to consider transaction cost value when calculating portfolio' return, we formulate this paper by using data from Shariah compliant securities listed in Bursa Malaysia. It is expected that, results from this paper will effectively justify the advantage of one model to another and shed some lights in quest to find the best decision making tools in investment for individual investors.
format	Conference Paper
author	Norhidayah, Ab Razak, Karmila Hanim, Kamil, Siti Masitah, Elias,
author_facet	Norhidayah, Ab Razak, Karmila Hanim, Kamil, Siti Masitah, Elias,
author_sort	Norhidayah, Ab Razak,
title	Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
title_short	Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
title_full	Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
title_fullStr	Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
title_full_unstemmed	Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost
title_sort	linear versus quadratic portfolio optimization model with transaction cost
publisher	Amer Inst Physics
publishDate	2015
url	http://ddms.usim.edu.my/handle/123456789/8962
_version_	1645152509131489280
score	13.211869

Linear Versus Quadratic Portfolio Optimization Model with Transaction Cost

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