Alrabadi, Dima Waleed Hanna - In: International Journal of Islamic and Middle Eastern … 9 (2016) 4, pp. 570-582
Purpose This study aims to utilize the mean–variance optimization framework of Markowitz (1952) and the generalized reduced gradient (GRG) nonlinear algorithm to find the optimal portfolio that maximizes return while keeping risk at minimum. Design/methodology/approach This study applies the...