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Financial Portfolio Optimization using Monte Carlo and Operation Research
by
Noureen M. Noaman,
Mohamed A. El-dosuky,
Abdelrahman Karawia
| International Journal of Computer Applications |
| Foundation of Computer Science (FCS), NY, USA |
| Volume 175 - Number 34 |
| Year of Publication: 2020 |
| Authors: Noureen M. Noaman, Mohamed A. El-dosuky, Abdelrahman Karawia |
10.5120/ijca2020920896
|
Noureen M. Noaman, Mohamed A. El-dosuky, Abdelrahman Karawia . Financial Portfolio Optimization using Monte Carlo and Operation Research. International Journal of Computer Applications. 175, 34 ( Dec 2020), 43-46. DOI=10.5120/ijca2020920896
@article{
10.5120/ijca2020920896,
author = {
Noureen M. Noaman,
Mohamed A. El-dosuky,
Abdelrahman Karawia
},
title = { Financial Portfolio Optimization using Monte Carlo and Operation Research },
journal = {
International Journal of Computer Applications
},
issue_date = { Dec 2020 },
volume = { 175 },
number = { 34 },
month = { Dec },
year = { 2020 },
issn = { 0975-8887 },
pages = {
43-46
},
numpages = {9},
url = {
https://ijcaonline.org/archives/volume175/number34/31672-2020920896/
},
doi = { 10.5120/ijca2020920896 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-07T00:40:17.984791+05:30
%A Noureen M. Noaman
%A Mohamed A. El-dosuky
%A Abdelrahman Karawia
%T Financial Portfolio Optimization using Monte Carlo and Operation Research
%J International Journal of Computer Applications
%@ 0975-8887
%V 175
%N 34
%P 43-46
%D 2020
%I Foundation of Computer Science (FCS), NY, USA
Abstract
Financial portfolio optimization is a difficult problem as it deals with many variables. Modern Portfolio Theory (MPT) is used for minimizing risk for a specific expected return. Many approaches are proposed to optimize portfolios. This paper proposes financial portfolio optimization using Monte Carlo and operation research. Results show an effective financial portfolio optimization.
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