Portfolio Management Strategies using Knapsack Programming.

Joy Ijeoma Adindu-Dick

doi:10.52589/AJMSS-LHIDP7KN

Portfolio Management Strategies using Knapsack Programming. | AB Journals

Portfolio Management Strategies using Knapsack Programming.

African Journal of Mathematics and Statistics Studies

Vol. 7Issue 22024pp. 172–182Published 17 May 2024

DOI 10.52589/AJMSS-LHIDP7KN

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Abstract:

One of the major tasks in portfolio management is to determine the number of stocks with relatively high net value on the stock market. This work presents a knapsack based portfolio selection model that considers the expected returns, prices and budget. It represents a typical resource allocation model in which limited resource is apportioned among a finite number of stocks. The objective is to maximize an associated return function. The work is implemented for some numerical data to illustrate the application of the model and demonstrate the effectiveness of the designed algorithm. Numerical results have shown that the optimization model yields promising results.

Keywords:Portfolio management Knapsack programming Integer linear programming Backward recursive equation.

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