Académique Documents
Professionnel Documents
Culture Documents
" # $ % &' (
) *+ )
),
- .
1 2 3/ /
0
874.5 *% 4
6
Ahmed H. Battal Alani
College of Administration and Economics / AL-Anbar University
9
34 5
!
7
#
!"
)?
#$
!" #$
" 8 9 2* $ +, - $ . / #$ 0 ' 1 % &
' ( )
2 : ;/ 7: <1
!
= #$ > / &
A # B C 1 D !B E F 1
G
,
-& $ H I ? > solver $ . / # (1 27
!" #$
2
="
= ) = #
" / 5 ) /!" J I 7 :
Abstract
The investment portfolio is a tool composed of at least two assets or
more, and the goal from owning portfolio is to maximize the market value and
achieve the optimum employment for these assets. Selection investment
portfolio is one of the models used in modern financial markets and contained
a large proportion of the risk.
The aim of the this paper is to clarify how can employ Quadratic
Programming as a way to determine the optimal investment portfolio. We
used Excel Solver Spreadsheets to find the optimal portfolio on the actual
historical data of the selected sample from the Iraqi financial market.
#
!
"
Key Words: optimal investment portfolio, Quadratic Programming, Risk and return,
Speared sheet and financial markets
%
"
" )
"
-.
"$
3 "4 "
2
:;
7
&
2
3 4
+ ))
"
*
)$( # $ %
&
/0, 3 5 '
*
6
$
.
$
*
23
$ > )$ %
*
&
&
7 )
$
4
& '
1)
2< '
"
/0,
8
"
6 =
>$
' 3
'
7" *
2"
*
1
1 "
"
*,"
*'
8"
"
" 4
? !
>4
5'
5'
)$
9"
"
&
0 2
@ $
! <'
! !'
7
5
)* ($ &
"
D
") 5
A "
B$
&
/0, @ ;
5C %
2*
&
@4
! !'
"
G !
*'
6
1 5
@ ;
"
"
&
4
B $
&
$$
* !
E
H0 $
I 1
& , @ ;
.'
2%
& F;
.'
$ $
* '
>
2
"$
4 B $
@ ;
F;
Microsoft Excel
" 3 "'
7
*
23 5 '
($
> 7
2 6$ * &
"$
4 $
* '
* %
$
'
"
"
,
&
30 'C >
))
* "
0", " B $ $ 2+
"6
<
4
2+
:;'
<
'
$
(3
$
3
5(
J L
5 '
<'7 3
3
,
23 5 '
*"
Markowitz , 7$
6
major mix
"
"$
!
:" $
H8
8
:5
A0
!=
M
$, 8
.'
1)
(Markowitz,1952, pp77-91)
* H8
" 8
2
)
0, .'
))
!
&
optimum portfolio
5' J ' :
> , 1)
- . +
1" 5 9 "
"$ * "
,4
>
5)
G A
3 7
-0
, +
"
<
5(
F 5!
'
29
-"
$
,4
5'
"
"L @ ;
$8
, &. ' ?
& , 1)
5$
."'
' 5 $
4
6.
' 5 $ - $, :
4 : $
'
&
2
0",
& '
))
3 8
AK
) > !)
* )
2 $8
&
9)
))
!)
3 5' E
2:
"5 ( ,
$?
* ) *
?
D+
>"
"
6 /0,
Rational Investor 7
23 5 '
)"7
>
5 ? ;
<
6 E
!$ / 4
Speculator investor ? ;
6 E?
23 5 '
# "7
>)) A0 # 7
>))
$
$
A0
6
>$
"
5;
$"
A0 # 7
$
>))
A0
>
" $
!
< $
3 5'
!$ / 4 >
3 5'
>
> 4 3 5'
-0
$
> >))
$
0,
A0 # 7
$ $ /4
5 $ /4
4
*
$
& $!
5; 3 8 3 5 '
A
/ 4 /.
" ; )
? ;
$
)
"6
$ $ /4
6
6
8 A0 ? ;
6
9 $
4
1
2 8
!"$ / "4 >"
6
6
>))
$?
$ ))
2! $ >
$
1)
0,
3 5'
@N $
return
O
1)
!$ / 4 >
> P
8
>
3Q
F! ? ;
6
3 4
,4 >
- / +
Efficient frontier A
3 5'
3@ "
"$ $
3 5'
3@ "
"
$ $ &
<
A
"
$ $
4
" :")
* !
4
( 3@
7 A
4 &
7
3@
$ $
.$
"
+ (
3 5'
23 5 '
.$
$
$
O
4 A
A0
3@
01
L$
:)
" $
"
3@
O
"
2+
".
"
7
6
@N 84
3@
, A
@N 84
5
3@
$ -0
3@
4 01
A
3@
$ $ + (
" :" (
3 5 "'
5'
" :" (
+ (
,6
4$ .
4$
$
2+
5 "$
/0", "
"
A0
3@ "
$ $
4
3 5'
A
@84
6
$
$
+ 5
"6
"
F !9
"
3@
3 5'
Indifferences curve @
6
$ $
$ $
+ (
5 ' .'
7
3 5'
1995,pp160-162)
01
4 01
A
3@
$ $
+ (
5 "$
"
"$ $
(U1',U2',U3')
3@ "
/0,
"$ $ : @
3 5'
"$ $
$ $
?$4
8
"
7 3 5'
/4 9
3 5'
A0
3@
*
"
0,
$ $
tangency 9
X 5)$
"
Y 5)$
4$
X "5)$
"$ A
$ A
3@
$ $
$
2
A
.$ + (
(U1,U2,U3)
$
? ;
!
3 5'
5)$ .'
+
<
3@
A $ (
$ $ U2 @
$ $ : U2' @
2X
$ 9
3 5'
$ $ 9
$ $
$ > $
$ > $ *
6
5*
A= @
/ 4$ ? ;
"
&
H0 " $ ",
2+
<
> 7
H0 $
'
( 5'
H0 $ , 5'
+ <
4
G H0 $ ( 5'
G 4
1 5
( + 5'
G ,.
'
&,
4
H0 $ G !
D = *
H0 $
D M%
)
&
5
H0 $ * '
4 Q C
!
) *
67 " -
M (Markowitz, 1959)
(Dietmar, $
Markowitz
H0 $ 0, $
'
4
D2005, p: 7 )
& !
4 *
$ E
2& 7
@ 7
3 5 "'
O
A 4
6
1)
"
"
"
# $
3 5'
"$
"6
,
-
"
)
(
$;
H0 $
&
EH
:;
-0
3 5'
0( * = 6
E?
4
4
!
' $
2
+*
9) 8
H0 $
3 5'
23 5 '
;
covariance - 7
*'
$ /4
.' +
5 . (
# $ *
>
:8
* ) A : $
.'
2+ <
3 5'
/0,
$4
(Bernard, * "
3 5'
$ H0 $
&
L!
D
Min S = X 12 S 12 + X 22 S 22 ... + X n2 S n2
-0
2007, p465)
x i x j rij s i s j
i j
2j
D M%
i *
)$
2i*
2j
i *
2j
9)
'
@84
9)
rij
&
&
Si,Sj
L!
" %."
S2i
@84
i*
$ XjXi
.$
H0 $
2- 7
D ,
L ! 0'
>) )
?G
A0
ri xi + r2 x2 + ........ + rn xn rm
D M%
2i*
A $
2i*
? G
A $
L! 1
>
ri
)$
$ xi
rm
5 7
X 1 + X 2 + ...... X n = 1.0
8
*,
" 4
9 !
. 1
"
, 8
(3"
"8
+*
* '
1 "
9"
23 5 '
E
!
*'
? "
.'
& !"
/0",
@ ;
. 1
*
3 "
9
5
2+ <
,& !
$4
@ ;
< '7
'
+S(
4
+ (
& !
4
E
(3
& !
)
0,
1
$
"L & !
"$
67 " !
&
2+
& !"
0 2
" & !
A "4
5 7D %
xi 0
'
' *
H0 $ 1 5 +
.'
. 1
& ! ( ,& !
?
+ S(
(3
.'
. 1
& !
D "
+ (
$ (
M2N
O2P
Q2P
Q2QN
QRRO
N2P
M2S
Q2TN
U2RN
QRRT
P2Q
QN2V
S2VN
Q2N
QRRP
P2V
R2T
V2P
QRRR
T2V
P2R
V2NN
VUUU
S2R
V2PN
S2R
V2Q
VUUQ
V.35
V2RN
VUUV
N2T
S2TN
M2RN
V2PN
VUUS
N2R
QO2S
QU2TNU
QN2TN
VUUM
VU2U
O2M
S2R
S2RN
VUUN
5 "
7
http://www.isx-iq.net
3
6
) 5
? "
I 1
(3
.' *
3 7$ D !
?
+
+
E
$ (+
A 4 & !
5* -.
(3
E
.'
(3
." 5* -.
& !
.'
& !
L & !
& !
+ (*
$
+ (*
& !
4
$
U2VR
U2STE
U2USE
U2QTE
QRRT
U2MU
V2NS
U2PO
U2NP
QRRP
U2UQ
U2SOE
U2PN
U2PT
QRRR
U2QVE
U2VPE
U2MP
U2URE
VUUU
U2MOE
U2NRE
U2NOE
U2QPE
VUUQ
U2US
U2QPE
U2VME
U2UNE
VUUV
U2MS
U2OU
U2OP
U2MS
VUUS
U2UM
S2SN
Q2QT
M2NS
VUUM
V2SR
U2OQE
U2OME
U2TNE
VUUN
."' "
"
H0 $ 1 5
O '
MD !
0, +
E
2
L!
(3
B $
.'
&
. "
!"
- 7"
"
2+
+
(3
(3
.'
.'
& !
& !
U2SS
U2MN
U2VR
U2NT
U2OU
Q2RQ
U2MU
V2QO
xi & !
ri 5
si
%
6
- 7
+ (
MD !
C,D
(3 , 4)
B,D
(2 , 4)
B,C
(2 , 3)
A,D
(1 , 4)
A,C
(1, 3)
A,B
(1,2)
0.62
0.98
0.18
0.72
0.13
0.64
A 4 & !
& !
L & !
1.00
-0.33
-0.50
-0.67
-0.33
1.00
0.67
0.77
cov (ij) - 7
! + (
& !
-0.50
0.67
1.00
0.82
rij
"
-0.67
0.77
0.82
1.00
MinZ = S =
H0 $
7 H0 $
G !
MD !
67 " < / +
MD !
4
+ j i( *
%
& !
+ (
, & !
D
+(
$ (
& !
& !
+
A 4 & !
+ ( + ( + (
"
B $
&
4 B6 $
data analysis
!' * '
- 7
) *
$ Microsoft Excel
B $
Subject to
Xi 0
""
"
"$
"
L !" /0",
"
*
"6
; *
* .
# "4
"
.'
E6:E9
L ! /0,
2*"
H0 $ G ! F; + (
>$
.$
B20
"
"
+xi ( &
, H0 $
&
<
H 8=
'
*
; -0
- 7
67 "
H0 $
D
10
=SUMPRODUCT(B6:B9;E6:E9)
"
$
L! 5 7
H0 $ G ! + (
+
'
2B19
Solver 3
7
! $ Solver
*
'
,.
solver 30 $ + (
D
7 7 ! $ solver 8
H0 $
& !"
*"
" >
"
& !
"
*"
"
? G
&
B6 $ + (
1)
4$ H0 $ B6 $
,
& !
:5
"
" A "
1
&
$
0, 0.153 /
: *4 $ 0,
,
2
11
L & !
2
)$
* )
T
6
)
T
A !
A 4
>
7A &
& !
$)
1)
.$
3 5'
)
$
$
$
$ %
A "
& " $ T
2T
T E
5
)
8 #8
$;
- $,
+
"4$ + <
( B$
? ; ?
"$ +3 5 ' (
.
2
) T
3 8
&
$(
AK T
0.475 F ! &
B6 $ + (
3 8
3 8
Final
Value
Name
Reduced
Gradient
$E$6
$E$7
$E$8
X1= prop
X2= prop
X3= prop
0.6227
0.0000
0.0813
0.0000
0.2261
0.0000
$E$9
X4= prop
0.2961
0.0000
Constraints
Cell
Final
Value
Name
$B$21
$B$19
Lagrange
Multiplier
1
-0.025046003
0.4
0.830806816
4 ' D !
solver
F; J L
0
+
4
( 5'
3 5'
H0 $ &
3 8
O $ ? G
.$
2- 0 F; + (
B6 $
? G
6
1)
0.119
0.119
0.124
0.153
0.288
0.775
:
6
0.318
0.318
0.350
0.400
0.450
0.500
+ (
?4 ? G
"
" T
2&!$ 3
"
3@ "
"$ $
0",
$ $
+
( 3 5'
4$ T
$
T
6
6
L
3 8 $ >$ 4$ $$
T
5'
12
+ (
>$
: :
6
MD !
$
!
" ? "G
& ;
+ (
3 5'
" T
? G
6
0.25
0.30
0.35
0.40
0.45
0.50
-0
%
( T
3 8 $
4$
6
J'
+6
& ;
.
.
A0
H0 $
"
@84
"
"
*G "
)
:
6 9
: 3 5'
!
$ $
0,
@84
$ $
/ 4$ ? ;
3 5'
0.600
0.500
0.400
(5,
0.300
0.200
0.100
0.000
0
0.1
0.2
0.3
0.4
0.5
:% ;
0.6
0.7
0.8
0.9
<2
H0 $ A
3@
$ $ + (
"
" J "L
H8"
"
5 '
3 "
"
* " H8
3 5'
0, .'
2
$
2
!
!
*
))
,
6
major mix
8
*
D
.'
))
3 8
) > !)
2 $83
9 ")
))
!)
2:
-$
",
"$
3 5'
>
Efficient frontier A
3 5'
23 5 '
)7
"
3@ "
3 5'
A
0,
A0
$ $ 9
- $,
.'
$ $ ?
13
3 5'
@$ *
4
@
$8
6
2
&
A0
$
3 5'
" 8
"
, ;
1 5
B $
&,
"
"
"4 $
"
"
"4
. 1
H0 $ * '
"
1 "
"
"$
"4 B "$
T
& !"
6
&
" T
1)
.$
"$
"$
H0 $
3 8
"
B$
A
2
& !
$)
&
? ; ?
23 5 '
&
$
4
3 8
$
H0 $ B6 $
& !
2
*
7A &
$ +3 5 ' (
) T
Microsoft Excel
A 4
T
? G
0, 0.153 /
1)
2T
6
H0 $ 1 5 * 2
>
" A
& !
L & !
$ 2
4$
,
:5
A !
4
* )
"
*
4
>
3 5'
&
2
" >
& !
>$ $ 4
2
2
*
2? G
*"
AK T
6
5'
14
3 5'
H0 $
0.475 F ! &
. - $,
,
)
3 8
*
1
>
>?@ A @
> .@ ? 5@
Z
[
(
? @ X> Y"
WQ
= # > ]" J ^
5 : > ' Z1 # " \ B
C B *
B4
' Z . ) ) ] ` ( : -C > * :a J ! b % 1X
= " _ `?
2" ^5 e G ? VUUS " !d cQMcQV
9 :
a
D
E
6 !
&6 E
: E
?9 # 9
WV
2VUUV f !
)# g
) ] h? Z
) ^5
!
) @ "
!" 5D #$ F G3@@ * >?@@
> @ " * H@@
E
i 5 W S
M 2VUUO
2VUUU 9 :
& "
"G *
), A j
8 i
W M
2VUUN 9 : ^5 -l "
"" *
I4
!k 9 < " WN
7 : " ^5 G
)?
@
. / # ? !" #$ m>
" n ^? % # W O
t?
7 : " o s
#o J
) p '> q ?d r
I D$ h %
:http://www.kantakji.org/fiqh/Files/Finance/223.doc\ 1$
1* @ K @0
@
@!
@
LM @ 0 H/* N # O1 2 3/ / O 0 BJ
ORSST O 3@@
G3@@ O Q 4 @ O @
- @
@ 6 @ O:H3@@6 < @ 0* P
ZVJYXVQWU
O4 @] O^= @_, * `@ P 4 OR L O[4 .@ 5
@ P H
O
\
O $ P BY
ZRSSa
^5 -l "
@
F @" ! * [ @ G @;b F
@
% 4'
Z W R
2VUUM 9 :
t?
7:
) D^ 7 : >
= " _ = ) = & ! 5& ^5 WQU
http://www.isx-iq.net \ 1$
c P0b ] (8
0_
1-Bernard W. T.,2007, Introduction to Management Science, 9th
ed., Prentice Hall, New Jersey.
2-Chincarini, Ludwig B and Kim, Daehwan ,2006, Quantitative
Equity Portfolio Management, McGraw-Hill ,New York.
3-Dietmar Maringer, 2005, Portfolio Management with Heuristic
Optimization, Springer.
15
16