Please use this identifier to cite or link to this item:
http://repository.futminna.edu.ng:8080/jspui/handle/123456789/1706| Title: | Lagrangian-Dual and Sensitivity Analysis In Portfolio Selection |
| Authors: | Oyewola, David O. Hakimi, Danladi Yahaya, Yusuph Bolarin, Gbolahan |
| Keywords: | Knapsack Problem |
| Issue Date: | Aug-2015 |
| Publisher: | African Journal of Computing & ICT |
| Citation: | D.O. Oyewola, D. Hakimi, Y. Yahaya & G. Bolarin (2015), Lagrangian-Dual and Sensitivity Analysis in Portfolio Selection, African Journal of Computing & ICT (Official Publication of the Computer Chapter of the Nigerian Section of the IEEE), Vol 8. No. 2 Issue 2. https://afrjcict.net/wp-content/uploads/2017/08/vol-8-no-2-issue-2-august-2015merged.pdf |
| Abstract: | In this paper, we consider the Lagrangian dual problem in portfolio optimization problems. The Lagrangian dual can be used to solve integer programming in which knapsack problem is one of them. We modelled Knapsack problem as a portfolio problem which consists of health care and oil and gas sector from 2010-2014. We used Lagrangian duality to solve the problem and the Lagrangian multiplier as the sensitivity coefficients. |
| URI: | http://repository.futminna.edu.ng:8080/jspui/handle/123456789/1706 |
| ISSN: | 2006-1781 |
| Appears in Collections: | Mathematics |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| V8N2-2P19-2015 AJOCICT-Lagrangian-Dual and Sensitivity Analysis In Portfolio Selection (1).pdf | https://afrjcict.net/wp-content/uploads/2017/08/vol-8-no-2-issue-2-august-2015merged.pdf | 339.49 kB | Adobe PDF | View/Open |
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