سال انتشار: ۱۳۸۶
محل انتشار: پنجمین کنفرانس بین المللی مدیریت
تعداد صفحات: ۷
saman Hassanzadeh – Postgraduate Engineering Center ,Islamic Azad University of South Tehran Branch
Ehsan hassanzadeh – Mechanical Engineering Department , Faculty of Engineering, University of Tehran
Making portfolio decision is difficult .It has been found that Markowitz model can overcome the difficulties of portfolio management in stock exchanges. In this paper, Markowiz model has been investigated. It is a model based on return-risk .In addition, we introduce efficient frontier, utility curve and their relationship. Finally, a proposed algorithm has been presented. The model can be solved by optimization programs. A numerical example is also presented to illusteate the modeling idea and the effectiveness of the proposed algorithm.