Research Article
Financial Portfolio Optimization using Monte Carlo and Operation Research
|
International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
|
| Volume 175 - Issue 34 |
| Published: Dec 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 },
year = { 2020 },
volume = { 175 },
number = { 34 },
pages = { 43-46 },
doi = { 10.5120/ijca2020920896 },
publisher = { Foundation of Computer Science (FCS), NY, USA }
}
%0 Journal Article
%D 2020
%A Noureen M. Noaman
%A Mohamed A. El-Dosuky
%A Abdelrahman Karawia
%T Financial Portfolio Optimization using Monte Carlo and Operation Research%T
%J International Journal of Computer Applications
%V 175
%N 34
%P 43-46
%R 10.5120/ijca2020920896
%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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