When making an investment, it is desirable to maximize the profits while minimizingthe risk. The theory of portfolio optimization is the mathematical approach to choosingwhat assets to invest in, and distributing the capital accordingly. Usually, the objectiveof the optimization is to maximize the return or minimize the risk. This report aims toconstruct and analyze a robust optimization model with MILP in order to determine ifthat model is more suitable for portfolio optimization than earlier models. This is doneby creating a robust MILP model, altering its parameters, and comparing the resultingportfolios with portfolios from older models. Our conclusion is that the constructed modelis appropriate to use for portfolio optimization. In particular, a robust approach is wellsuited for portfolio optimization, and the added MILP-part allows users of the model tospecialize the portfolio to their own preferences.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-348802 |
| Date | January 2024 |
| Creators | Bjurström, Tobias, Gabrielsson Baas, Sebastian |
| Publisher | KTH, Skolan för teknikvetenskap (SCI) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-SCI-GRU ; 2024:261 |
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