2024
DOI: 10.30598/barekengvol18iss2pp1067-1080
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Application of Quadratic Programming on Portfolio Optimization Using Wolfe’s Method and Particle Swarm Optimization Algorithm

Syaripuddin Syaripuddin,
Fidia Deny Tisna Amijaya,
Wasono Wasono
et al.

Abstract: Stock portfolios can be modeled into quadratic programming problems using the Markowitz mean-variance model. Quadratic programming problems can be solved using two methods, namely classical and heuristic methods. In this research, the classical method uses Wolfe’s method, while the heuristic method uses the particle swarm optimization (PSO) algorithm. This research aims to determine optimal results in portfolio problems using two methods, namely Wolfe’s method and the PSO algorithm. The data used in this resea… Show more

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