Research Article
MARKOWİTZ MODELİNİN AYRILABİLİR ŞEKLİNİN CEBİRSEL MODELLEME DİLİNDE (AMPL) İFADESİ VE LOQO PROGRAMI İLE ANALİZİ: İMKB'DE BİR UYGULAMA
Abstract
Bu çalışmada optimizasyon problemlerinin AMPL (A modeling language for mathematical programming) cebirsel modelleme dili ile ifadesi ve herhangi bir program yardımıyla nasıl analiz edileceği verilmiştir. Çalışmada Markowitz modelinin ayrılabilir şekli , AMPL cebirsel modelleme dili ile ifadesi yazılmış ve İMKB 'de (İstanbul Menkul Kıymetler Borsası) bir uygulaması gösterilmiştir.
Keywords
References
- FABOZZI Frank, Investment Management , Prentice Hall, 1995
- FARRELL James, Portfoliö Management: Theory and Application , McGrawhill Intemational Edition , 1997
- FOURER Robert , GA Y David M. , KERNIGHAN Brian W. , "A Modeling Language for Mathematical Programming", Management Science, 36 (1990)
- FOURER Robert , GA Y David M. , KERNIGHAN Brian W., "A Modeling Language for Mathematical Programming", The Scientifıc Press Series , 1993
- HERTOG , D.den , Interior Point Approcach to Linear , Quadratic and Convex Programming , Kluwer Academic Publishers , 1994
- RICHARD Dobbins, WITT Stephen , FIELDING John , Portfolio Theory and Invesment Management, Blackwell Business , 1994
- VANDERBEI Robert J., Linear Programming: Foundations and Extensions Kluwer Academic Publishers , 1996
- VANDERBEI Robert J. ,LOQO: An interior point code for quadratic programming , Technical Report , Princeton University , 1994
- İMKB Şirketleri Sermaye ,Temettü ve Aylık Fiyat Verileri ,1986-1998
Year 2000,
Volume: 16 Issue: 1, 59 - 80, 01.12.2000
Abstract
References
- FABOZZI Frank, Investment Management , Prentice Hall, 1995
- FARRELL James, Portfoliö Management: Theory and Application , McGrawhill Intemational Edition , 1997
- FOURER Robert , GA Y David M. , KERNIGHAN Brian W. , "A Modeling Language for Mathematical Programming", Management Science, 36 (1990)
- FOURER Robert , GA Y David M. , KERNIGHAN Brian W., "A Modeling Language for Mathematical Programming", The Scientifıc Press Series , 1993
- HERTOG , D.den , Interior Point Approcach to Linear , Quadratic and Convex Programming , Kluwer Academic Publishers , 1994
- RICHARD Dobbins, WITT Stephen , FIELDING John , Portfolio Theory and Invesment Management, Blackwell Business , 1994
- VANDERBEI Robert J., Linear Programming: Foundations and Extensions Kluwer Academic Publishers , 1996
- VANDERBEI Robert J. ,LOQO: An interior point code for quadratic programming , Technical Report , Princeton University , 1994
- İMKB Şirketleri Sermaye ,Temettü ve Aylık Fiyat Verileri ,1986-1998
There are 9 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Research Articles |
| Authors | |
| Publication Date | December 1, 2000 |
| Submission Date | January 31, 2000 |
| Published in Issue | Year 2000 Volume: 16 Issue: 1 |
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