Lagrangian-Dual and Sensitivity Analysis In Portfolio Selection

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DC Field	Value	Language
dc.contributor.author	Oyewola, David O.	-
dc.contributor.author	Hakimi, Danladi	-
dc.contributor.author	Yahaya, Yusuph	-
dc.contributor.author	Bolarin, Gbolahan	-
dc.date.accessioned	2021-06-06T11:09:39Z	-
dc.date.available	2021-06-06T11:09:39Z	-
dc.date.issued	2015-08	-
dc.identifier.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	en_US
dc.identifier.issn	2006-1781	-
dc.identifier.uri	http://repository.futminna.edu.ng:8080/jspui/handle/123456789/1706	-
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	African Journal of Computing & ICT	en_US
dc.subject	Knapsack Problem	en_US
dc.title	Lagrangian-Dual and Sensitivity Analysis In Portfolio Selection	en_US
dc.type	Article	en_US
Appears in Collections:	Mathematics

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