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Theory H. Markowtiz
1952
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)( ) (
Efficient Set
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. Indifference Curves

-2 -:

-:
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) (
(1) Jones, C.P., Investment: Analysis and Management, Second-Edition, John- Wiley & Sons, 1997,
P.572.
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- 47 -

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(2) Haugen , R. A. : Modern Investment Theory. Fourth Edition, Prentice Hall International Company
, 1997 P. 197.
(3) Francis, J.C., Op. Cit., P. 503.
(4) Ibid. P. 503.
) (5 )( : .299
- 48 -

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(1) Francis, J.C., Op. Cit., P. 477.

- 50 -

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Inefficient Set
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(1) Francis, J.C. op cit., P 488.
(2) Francis J.C. op. cit., P 199.
(3) Radcliffe, R.C. , Investment. Fifth Edition , Addison - Wiley, 1997. PP. 215-216.
- 51 -

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(2) Ibid, p. 214.
(3) Ibid. pp 215- 216.
- 52 -

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- 55 -

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(1) Haugen, R.A.: Op. Cit., P. 106.

) (2 .156
- 56 -

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2/2/1 : -:
n

) E ( ri
-:
) : E (rP )(p
) : E (ri ).(i
: xi ).(i

- 59 -

x
i =1

= ) E ( rP

 -2 -:

Markowtiz Graphical Portfolio Analysis

- -
.

) :(1 ) ( C B A
- -:

A
B
C

0.05
0.10
0.15

) E (ri

*
*
0 . 28

ij

0 . 25
0 . 15

0 . 17

*
0 . 21
0 . 09

A
B
C

-:

: ) ( xi
-:
=1
=1

)(1

i =1

x +x +x
2

x3 = 1 x1 x2

) ( x3
)( -:

)(1 x1 x3
n

) E ( ri

x
i =1

-:

= ) Q E ( rP

)(n=3
3

) ( x )E
x )0 . 15
r3

)(2

1
1

x
x

+ (1

+ (1

) (r 2
2

) (ri

+ 0 . 10

) ( r1
1

i=1

= 0 . 05

E(rP ) = 0.10 x1 0.05 x 2 + 0.15

) (1 -:
- Haugen , R. A., Op. Cit., P. 94.
- 60 -

)( -:
n

ij

)(n=3

x x
J

i =1

x x
i

= ) Q ( r

J =1

ij

= ) ( r

j =1

i =1

)x1 11 + x2 22 + x3 33 + 2( x1 x2 12 + x1 x3 13 + x2 x3 23

23

x )x
2

+ (1

13

x)
+ 2[ x x + (1 x x ) x

33

+ (1

x
2

22

12

11

) ( rp ) = 0.19 x1 + 0.31 x2 + 0.34 x1 x2 0.22 x1 0.38 x2 + 0.28 (3

2

-: )-:(MVP
Minimum Variance Portfolio

) (x2 x1
. ) (MVP
Efficient Frontier
.
) (MVP Partial Derivatives

:
ax1 + bx 2 + c = 0
dx1 + ex 2 + f = 0

= +0.38 x1 + 0.34 x2 0.22

= 0.62 x 2 + 0.34 x1 0.38

- 61 -

) x1 , x 2

(.

) Var.(rp
x1

) Var .( rp
x2

 -:
0.38 x1 + 0.34 x2 0.22= 0
0.62 x2 + 0.34 x1 0.38= 0
-:
x1 = 0.06
x2 = 0.58
) ( x2 = 0.58) ( x1 = 0.06


- -:

E(rmvp ) = 0.1150

2 (r ) = 0.1632
mvp

(1)Francis -
:

2 13

33

23

23

+ 12 13

+ 12 13

23

33

33
33

ij .
-:

a = 2 ( 11 +
33

b = 2 (

c = 2 ( 13
33

d = 2 (2

22
23

e = 2 (

f = 2 (

Isoexpected Return Lines

- 12% -
) (2
= 12%
) (6/2
.

(1) Francis, J.C., Op., Cit., P 510

(2) Haugen, R.A., Op. Cit., P. 96.
- 62 -

 ) (

) E (rmvp

x1

8%
10%
12%
14%
16%
18%
20%

x2

)(x2 =0

0.7
0.5
0.3
0.1
-0.1
-0.3
-0.5

)(x1= 0

1.4
1
0.6
0.2
-0.2
-0.6
-1.0

] x1 ) [(X2 = 0 ] x2
) [(X1 = 0 :
) E ( rP ) E ( r3
) E ( r1 ) E ( r3
) E ( rP ) E ( r3
) E ( r2 ) E ( r3

) ) ( E( r
:
i

) ) E ( rP

= X 2 = 0 X1
= X1 = 0 X 2

(
E ( rP ) 0.15
0.10
E ( rP ) 0.15
0.05

= X 2 = 0 X1
= X1 = 0 X 2

) ( ):(1
0.05 0.15
= 2.0
0.15 0.10

) E ( rA ) E (rc

) E ( rc ) E (rB

= Slope

.
: : Isovariance Ellipses

) (MVP .

(1) Ibid., P. 97.
- 63 -

 ) (x
) ) (Var( rP

)(x1

) (x2

) ( Ax + Bx + C = 0
-:
2

4 AC

2A

:
: ( x1 = 0

)(Var( rP ) = 0.3

=x

0.30 = 0 + 0.31 x2 + 0 0 0.38 x2 + 0.28

2

0.31 x2 0.38 x2 0.02 = 0

2

A= 0.31
B= - 0.38
C= - 0.02

A , B , C

)(Var(rP ) = 0.3), (x1 = 0), (x2 = 0.276), (x2 = 0.05

(1)Haugen

.
:

Critical line

Critical Line
) (MVS
) (MVP .
(2)Efficient Frontier
-:
(1) Ibid., P. 119.
(2) Francis, J.C., Op. Cit., PP. 514-515.
- 64 -

X2
2.0
1.8
1.6
1.4
1.2
1.0

C
B

0.8
0.6 MVP

0.4

0.2
1.4 X1

1.2

1.0

0.6

0.8

0.4

0.2

-1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -0.2

-0.2
-0.4
-0.6
-0.8
-1.0

8%

-1.2
10%

-1.4
-1.6

12%

-1.8
14%

-2.0

18%
20%

)(6/2

- 65 -

)(MVS



.
:

Efficient Frontier

) ( x1 , x2
) (MVP
.
).(7/2
) E ( rP
0.4

0.3

0.2

2 (r

)P

MVP

0.1

0.0
0.7

0.6

0.5

0.3

0.4

0.2

0.1

)(7/2

:

Optimal Risky Portfolio

.
) (8/2 ).(MVP

- 66 -

MVP

)(8/2

.
.

- 3 :

Mathematical Approach

Lagrangian Method

:
1/3 ) (MVS

):(1

: ) (
n

= xi x j ij
)
i =1 j =1

( rp

Mini.Var

(1) Francis, Op. Cit., p. 521.

- 67 -

1/ :

E* = 0

) ( ri

x E
i

i =1

* : E .
2/ - :
1= 0

x
i =1

Lagrangian Objective Function

) (

:

x 1
i

n
*

+
E
(
ri
)

xi
E 2
i =1

n
+

x i x j ij 1
i =1

= ) Mini ( Z

i =1 j =1

) ) + (n ( :
x1 0
x 0

2
x 3 0
M = M

x
n 0
1 1

* 2 E

1
1
1

0
0

E1

2 1 n

E2

2 2 n

E3

2 3 n

En

2 nn

2 n 2

En

E2

K
K

2 12
2 22
2 32

2 11
2
21
2 31

2 n1

1
E
1

)*.(E

:
), x2 , , xn

: ) (.
- 68 -

(x1

x + x + x +2 x x +2 x x +2 x x
)+ (x E ( ) + x E ( ) + x E ( ) E ) + (x + x + x 1
r
r
r
2

23

12

33

22

= Mini Z

11

: .
z
= 2 x1 11 + 2 x2 12 + 2 x3 13 + 1 E ( ) + 2 = 0
r1
x1
z
= 2 x2 22 + 2 x1 12 + 2 x3 23 + 1 E ( ) + 2 = 0
r2
x2
z
= 2 x3 33 + 2 x1 13 + 2 x2 23 + 1 E ( ) + 2 = 0
r3
x3
1 = 0

x +x +x +x

z
=
2

(x E

az
=
a 1

+ x 2 E ( r ) + x3 E ( r ) E = 0

) r1

:
x1 0
x 0
2

x3 = 0

2 1
* 1 E

1
1
1

0
0

) E (r2
) E (r3

2 13

2 12

2 23
2 33

2 22
2 32

0
0

1
) E (r3

1
) E (r2

) E ( rP

2 11
2
21
2 31

1
) E (r1

) ij E (ri :
x1 0
x 0
2
x3 = 0
1
* 2
1 E

0.34 0.05 1
0.18 0.10 1
0.56 0.15 1

1
0
0
0.15
0
0

0 .5 0 .3
0.3 0.42

0.34 0.18

1
1
0.05 0.10

:
*

x1 = 1.44 12 E
*x2 = 0.12 + 4 E
*x3 = - 0.56 + 8 E
*1 = 3.6800 32 E
*2 = 0.7496 + 3.68 E

- 69 -

 )* (E
) (Xi
).(MVS

- 70 -

1
2
*3
*4
5
6
7
8
9
*10
*11
*12

0.01
0.02
0.05
0.08
0.10
0.115
0.12
0.14
0.16
0.18
0.20
0.26

X1
1.32
1.20
0.84
0.48
0.24
0.60
0
-0.24
-0.48
-0.72
-0.96
-1.68

X3
-0.48
-0.40
-0.16
0.08
0.24
0.36
0.40
0.56
0.72
0.88
1.04
1.52

X2
0.16
0.20
0.32
0.44
0.52
0.58
0.60
0.68
0.76
0.84
0.92
1.16

0.3396
0.3076
0.2308
0.1828
0.1668
0.1632
0.1636
0.1732
0.1956
0.2308
0.2788
0.4996

* ).(9/2
2/3 ) (MVP -

: :n

Mini.Var (rP ) = X i X j ij
i =1 j =1

:
=1

X
i =1

:
:
n m
n

Mini.( Z ) = X i X j ij + X i 1
i =1 j =1
i =1

:
x1 0
x 0
2
x 3 = 0

1

- 71 -

1
1
1

2 13
2 23

2 12
2 22

2 33

2 32

2 11
2
21
2 31

 ij
) (MVP ) (X1 = 0.06) (X2 = 0.58) (X3 = 0.36 Xi

) (MVP :
E (rMVP ) = 0.115

= 0.1632

(2r

) MVP

:
) E ( rP
0.4

0.3
5

P4

0.2

P3

MVP

P2

0.1

P1

2 (r

)P

0.0
0.7

0.6

0.5

0.3

0.4

0.2

)(9/2

- 72 -

0.1

. .

) (1
.
:
.
.
.
:
: .

: .
: .

) (1 )( : .273
- 72 -

- 1 :

(1)Brighan

" )( ".
Risk is the chance that some unfavorable events will occur.

:
. . . (2)Hirt "
".
Risk is uncertainty associated with outcomes from an investment.

:
. . . (3) Rao "
".
:
. . .
"

) (1 )( : -
1996 .185
(2)Hirt, Geoffrey A.,& et. al.: Fundamentals of Investment Management, Third Edition, Irwin, 1990, PP.
641-642.
(3) Ibid, P. 642.
- 73 -


".
:
. . ) (1
.

) (2

.

-2 :
1/2 .
1/1/2 : :
1/1/1/2

)(3

Interest Rate Risks

.



.

.

) (1 )( : 257 256
) (2 )( : .187
) (3 )( : 2000
.28
- 74 -

 2/1/1/2 :


) .(1 :


) .(2
).(3
Market Risks

3/1/1/2 :

Economic Cycles Risks

.

.
.
:
: :Cyclical- Industry

. .
: :Defensive- Industry
.
) .(4
.

) (1 : .102-101
) (2 )( : .251
) (3 )( 30
) (4 )( : .168
- 75 -

 2/1/2 : :
1/2/1/2 :

Business (or Management) Risk

) (

).(1

2/2/1/2 :

Special Economic Cycles Risks

3/2/1/2 ):(2

Industry Risk

:
.
:
.
. :


.

4/2/1/2 :

Liquidity Risk

. :
) .(3
)(1
.

) (1 : .102
) (2 )( .174
) (3 :
- 76 -

 2/2 ): (2

1/2/2 :
1/1/2/2 :

Liquidity Risk

-



.

.
2/1/2/2 :

Inflation Risk

1/2/1/2/2 ) (:
- -

.
2/2/1/2/2 :
-

.
3/1/2/2 :

Ligeslation Risk

: .103-102 )( .411) (1 : .231

(2) Brueggeman, William B. : Real Estate Finance and Investment, Irwin, 1999, PP 325 327.
- 77 -

 2/2/2 : :
1/2/2/2 :

Management Risk

.
2/2/2/2 :

Credit Risk

.

.

3/2 :
- -
. -
-
.
1/3/2 : :

1/1/3/2 ).(1

Interest Rate Risk

2/1/3/2 ).(2

Market Risk

-

.

) (1 : 1997
.42
) (2 )( : .351
- 78 -

 3/1/3/2 ): (1

Business Cycles Risks

4/1/3/2 ): (2

Exchange Rate Risk

2/3/2 : :

1/2/3/2 ): (3

Capital Risk

2/2/3/2 :

)(4

Credit Risk

-
.
:
: " "
. -

).(5
: " "

).(6

).(7

) (1 .351
) (2 : .42
) (3 )( : .30
) (4 : 43
) (5 )( :
- ) ( 1993 .191
) (6 .192
) (7 )( : .207
- 79 -

.
- - ). (1

-
:
)(

)(
.
-
)(
.

)( .
)(
.
)( .

.

-1 :
1/1 :

Variance Standard Deviation

"
" .
(1) Reilly, Frank k. Op.Cit., P. 253.
- 80 -

 .
).(1
) (2 )(
)(.

)(

)(

) ( 1/3

:
2

xi

.
:
2

: xi ) (i
)(i = 1 , 2, 3, ... n

: x
.
: n .

) ( .
) (1 )( : .251
) (2 .251
- 81 -

-
-

) .(1
) .(84
).(2

- -
.
-
.

2/1 :

Semi- Variance Of Returns

) .(3
).(4

).(5
2

:
: 2
): P(x

.
.

) (1 .254
) (2 : .242
) (3 )( : .251
) (4 : .242
) (5 .242
- 82 -

xi x

)P(x

i =1

: xi

)(i = 1,2... n

: x .
:
-
.
-
).(1
-

.

3/1 :

Coefficient of Variation

.
.
- .
:

100

= C .V

:
) (.
: C.V
: i
.
: xi

:

) (1 .242
- 83 -

)(%
12
12
15

0.83
1.10
0.67

0.08
0.10
0.12

:
)

( .
)( )(

.
)( )(
)( )(
.

.

2 :

:
1/ 2 Covariance

) ( ) (
-
).(1
:

) y
n

) (1 )( : .261
- 84 -

(x
n

i =1

= Cov .

:Cov.
: xi
: x
: yi

) (.
I )(i = 1,2,3, ... n
.
.

: y
.

2/2

Correlation Coefficient

.
:

Cov . x , y
= ) (
) Var . (x
P

) : (P

: Cov. x , y

) (.
) (x )

(.
) : Var. (x ) (.

3/2 :

Coefficient of Determination

) (
. )
().(1

.
) ( .
) (1 )( : .270
- 85 -

 -
:
-
.
- .

.
- .

- 3

Sharp Model

) ( )
( . ).(1
0

: Ki
: ai
: bi
: Km
: e0

+ e

K = a + b K
i

) (.
.
)(.
) (.
.

) (bi ).(e0


.
.
) .(2
(1) Hirt, Geoffrey A. & et. al.: Fundamentals of Investment Management , Third Edition, Irwin, 1990, PP 641642
) (2 )( : .6
- 86 -

 - -
).(1

-3

Markowitz Model

1956
.
).(2
2

=
( P ) x i x j ij
i =1 j =1

) : ( P .
: xi ).(i
: x j .
: ij .

) (1 )( : 2001 .69
(2) Sharp, William F. & Alexander, G.J. , Investment, Fourth-Edition, Prentice-Hall , Inc., 1990, P. 148
- 87 -

 ) (1:
)( .
)( .


- -
.

.

- 4 :

1/4 ) 8( ) 10
( 1989/88 1999/98
:
: ).(X1 : ).(X2 : ).(X3 : ).(X4 : ).(X5 : ).(X6 : ).(X7 : ).(X8 : ).(X9 : ).(X10 2/4 ) 8(

.
Excel

).(1

) (1 )( :
1998 .24
- 88 -

 ) ( 1/3

1989/88 1999/98

3.83

3.51

3.55

3.63

1.34

3.21

2.93

2.24

2.98

3.61

4.01

3.69

4.87

3.77

2.88

1991/90

1.92

2.43

2.88

3.62

3.68

4.59

3.63

2.3

1992/91

1.72

2.47

2.93

8.31

3.94

4.09

2.86

1.97

1993/92

2.43

3.51

2.41

5.51

3.38

2.72

2.59

1994/93

1.97

2.51

3.24

2.66

9.11

2.7

2.51

2.57

1995/94

1.79

2.12

14.97

1.9

24.65

2.81

1.64

2.07

1996/95

1.87

15.41

1.9

20.84

2.9

1.58

2.28

1997/96

2.17

1.55

3.24

1.87

18.51

2.61

1.61

1.87

1998/97

1.87

1.61

3.46

2.12

17.64

2.63

1.9

2.02

1.67

1.76

3.46

2.19

14.44

2.57

2.17

2.19

1989/98
1990/89

1999/98

) ( 2/3

1989/88 1999/98

A
B
C
D
E
F
G
H

1.9233
2.257
4.660
2.707
10.820
3.142
2.472
2.319

1
2
7
5
8
6
4
3

1.920
2.430
3.460
3.410
9.110
2.810
2.510
2.280

1
3
7
6
8
5
4
2

:
1
(2)Trimmed Mean .
) (1 .189-174

) (1 :Trimmed Mean %5
- 89 -

 2 ) (A
.
3 ) (E .

.
- 90 -

. :

- 1 :

1/1 :

.
).(1

.
).(2

2/1 :

1/2/1 :
).(3

) (1 : .288
) (2 )( : .441
) (3 )( :
) ( 1986 .368
- 91 -

 -
.
2/2/1 :

) (.


.

- 2 :

Risk Adjusted Performance

).(1
:
)(2

1/2

.
.
Sharp Index

) r (P ) r ( f

) (rp
:

= ) S (P

: S
) (P

: r .
) (P

) : r ( f .
) : (rp .

(1) Hirt, Geoffrey A. & et al. : Op. Cit., P 639.

(2) Haugen, R.A. Op. Cit., P 315.
- 92 -

 2/2

Treyner index

).(1

(R( ) R

=
) (T
) (B
P

)T(p
)R(p
)R(f
)B(p

: .
: .
: .
: ) (.

.
: : ) (2
. :
) .(3
.
3/2

Jensen Index

):(4

})J(p) = r(p) _ { r(f) + (r(m) _ r(f)) B(p

:
)J(p
)r(p
)r(f
)r(m

)B(p

: .
: .
: .
: .
: .

.
(1) Ibid., PP 314-315.
) (2 : .289
(3) Hirt, Geoffery A., Op. Cit., P666
(4) Haugen, R.A. , Op. Cit., PP. 311-312 .
- 93 -



.


.

.
.

3
:

1/3 :
) 11( 1989/88 1999/98

) 10(
.
2/3
1989/88 1999/98

.
-:

- 94 -

 )(3/3

1989/88 1999/98

) ( P

) ( P

C.V

)x ( P

43.48

5.7

3.51

10.3

3.61

34.48

2.88

25.64

14.1

26.32

14.00

8.31

14.6

2.41

16.39

2.66

20.41
16.95

) ( P

C.V

)x ( P

62.5

12.1

3.55

13.3

4.01

30.30

3.62

25.64
58.82

) ( P

C.V
29.41

C.V

)x ( P

1989/88

9.6

2.00

20.83

8.7

3.83

1990/89

7.9

2.24

28.57

10.8

2.98

27.78

1991/90

12.1

1.92

15.87

10.2

2.43

23.81

10.7

1992/91

10.4

1.733

16.67

10.7

2.47

23.26

11.00

2.93

1993/92

12.4

2.00

16.13

11.2

2.43

21.74

15.1

3.51

23.26

1994/93

11.6

1.97

16.95

10.9

2.51

23.26

11.5

3.24

28.57

13.00

1995/94

11.5

17.9

15.53

11.2

2.12

18.87

6.1

14.97

25.00

11.2

1.9

1996/95

10.00

1.87

18.87

8.2

2.00

24.39

7.5

15.41

200.0

14.00

1.9

13.51

1997/96

10.5

2.17

20.83

8.2

1.55

14.93

9.2

3.24

35.71

66.96

6.2

9.26

1998/97

11.6

1.87

16.13

10.8

1.61

24.39

6.00

3.46

58.82

9.6

2.12

22.22

1999/98

9.7

1.68

17.24

7.3

1.76

4.1

4.9

3.46

71.4

9.5

2.19

23.26

)x ( P

- 95 -

 ) ( 4/3

- 1989/88 1999/98

17.72

16.95

22.93

23.26

40.90

34.50

22.01

22.22

93.20

58.8

26.89

26.32

21.82

18.87

20.88

19.61

:
1 ) (A
). (H) (G
2 ) (E.

- 96 -

.
- - -
- -

.
-
.
:
.
.
:
: .

: .
: .

- 98 -



- 1

) (
:

-1/1 :



-
).(1
Objective Goal
Zeleny
.
). (2
): (3
. . . . - .

) (1 :
1991 33
) (2 .27-26
) (3 )( :
)( 1999 .185
- 99 -

-2/1 :

.
:

: :

-

- .


. ).(1
: :
)
(
). (2
: :

).(3


.



.

) (1 : 33
) (2 : -
1985 12
) (3 )( : .251
- 100 -

 -3/1 :

) .(1
: .
) (2
). (3
:
: :

Proportion

) (4
).(5 )-:(6
:
:
: K .

f (X) = a1 X1 + a2 X2 + .. + an Xn
)f (kX) = k f(X

: :

Additivity

) (7 - -
).(8
): (9
)f (X1) + f (X2) = f (X1 + X2

) (1 )( : 1992 .21
) (2 )( : 1995 .75
) (3 : .96
(4) Loomba, Narendra P.,: Linear Programming : A Managerial Perspective, Second Edition, McGrawHill, Inc., 1976, P.313.
) (5 )( : .75
(6) Loomba, Narendra P., Op. cit., PP.313-314.
) (7 )( : .76
(8) Hillier, F.s.,& et.al.,:Introduction To Operations Research, Fifth-Edition, McGraw-Hill Publishing
Co.,1990 , P..39.
(9) Loomba, Narendra P.: Op. Cit., P 314.
- 101 -

 :
-

). (1

.
) (2
).(3
Divisibility

- 4/1 :
- -
.

.
:
). (4 ). (5 - ). (6

- 2 :
1/2 - :

). (7

) (1 )( : .76
) (2 : .96
) (3 )( : .40
) (4 : .24
) (5 .24
) (6 :
1988 .39 38
) (7 )( : 1988 .5
- 102 -

 1/1/2 :
) (
.
).(1
2/1/2 :
- :
Physical Models
:



) (2
). (1/4
Analog Models
:

.
). (3
Mathematical Models
: :

.
) (4 ) (5
).(6
-


)(7
. Assignment Problems

(1) Gupta, P.K.,& et. al.: Problems In Operations Research. S. Chand & Company LTD, New Delhi,
1988, PP 15-25.
) (2 )( : .15
) (3 )( : . 35
) (4 )( : .16
) (5 )( : 1988 . 25
) (6 )( : . 34
) (7 :
1990 . 133
- 103 -

- 104 -

 2/2 :

-:

1/2/2 -: :
Deterministic Programming Models



).(1
.
)( Stochastic (Probabilistic) Programming Model

.
) (

) (2 )(

).(3

):(4
:
Sensitivity Analysis
.

.
:
:
(1) Gupta, P.K. & et. Al., Op. Cit., P. 18.
(2) Hiller, F. S., & et. al., Op. Cit., P. 651.
) (3 : -
.141
) (4 : .78 65
- 105 -

)( :



. :
MaxMini Criterion MaxMax Criterion Criterion
of Regret . Equal - Probability Criterion
)( :

) (1

).(2

.

).(3
2/2/2 :

:
:


.
Linear programming

(1) Hiller, F.S. & et. al., Op. cit., PP. 661-662.
) (2 : .142 141
) (3 .156
- 106 -

 :
-
-
.(1) Continuously Differentiable

.


:
( ). (2
(
). (3
( ).(4
(
).(5

(
). (6
Non - Linear Models

) :(7 :

.

.Portfolio Selection
Quadratic Programming

(1) Taha . H.A. :Operations Research : An Introduction , Macmillan Publishing Co., N. Y., Fourth
Edition, 1995, P.786.
(2) Wagner, H..M., Op. Cit., P.526.
(3) Hillier, F. S. & et. al., Op. Cit., P.543.
(4) Wagher, H.M,. Op. Cit., P, 53.
(5) Ibid., P.526.
(6) Ibid., P, 531
(7) Hiller, F. S., & et. al., PP. 507-543.
- 107 -

 :
Concave Function
).(Convex Functions
- Separable Programming


.
Non-convex Programming
.
- Geometric Programming

:
Convex Programming

)f ( x) = C i Pi ( x
i =1

s.t.
for i = 1,2,...N

Pi ( x) = x1ai1 x 2ai 2 K x nain

.
Fractional Programming :
) ) ( f (x
:
)f1 ( x
)f 2 ( x

= )f ( x

Unconstrained non - Linear Programming
.
) (

).(High Efficient Algorithms

- 108 -

 3/2/2 :
:
: :

Static Programming Models

: )(

Dynamic Programming Models

) (1

Sequential Decision
) ( .(2) Transition Equation :
Dynamic Programming Sequential Goal
... Programming.
4/2/2 :

:
Single Dimensional Objective Function :

. :
....
Multidimensional Objective Function :

- Vector Optimization Multi-Objectives
.Programming
Satisfactory Solutions .

(1) Gupta, P.K. & et. Al., Op. Cit., P. 18.

) (2 : .129-128
- 109 -

 3/2
:

1/3/2
1940
Kantrowitich
. 1947 Dantzig
).(1
Linear Programming

-1/1/3/2 :

. :
. . . . .
) (2 ): (3
Max. (or Min.) Z = C1 X1 + C2 X2 + C3 X3 + . + Cn Xn
Subjects to:

A 11 X1 + A 12 X2 + A13 X3 + .. + A1n Xn = B1

A 21 X1 + A 22 X2 + A23 X3 + .. + A2n Xn = B2
.

.
.

A m1 X1 + A m2 X2 + Am3 X3 + .. + Amn Xn =Bm

`and all X s

) (1 : .37
(2) Hillier, F..S. & et. al., : Op. Cit., p.37.
) (3 :
-Ibid., pp.35-36
- 110 -

 2/1/3/2 :

:
. . .

:
.
2/3/2

Non Linear Programming

). (1
):(2
)Mini (or Maxi.) = Z = f (x1, x2, ..,xn

Subject to :
a (x) = ai (x1, x2 , ,xn ) bi
=
and all xs 0

)( i =1 , 2 , ..., n

1/2/3/2 :

-

) (1 : .148
) (2 :
-Wagner, H. M.,: Principles Of Operations Research, Prentice Hall Of India, New Delhi, Second
Edition, 1989, P.604.
- Hillier, F.S.& et. al , Op. Cit., P531
- 111 -


.
3/3/2

Dynamic Programming

Dantzig
) .(1
).(2
& Bellman

1/3/3/2 ): (3

)(
)(
)(
)(
)(

.
.
.
.
.

2/3/3/2 :

- )
(
Sub- Problems (4)Sequentional Decisions
) (
. Transition Equation
- .
-
).(5

) (1 : 127-126
(2) Gupta, P.K., & et. al., Op. Cit., P. 571.
(3) Therauf, R. J., & et. at :Decision Making Through Operations Research , John Wiley and Sons, Inc.,
N, Y., 1970, P 495.
) (4 : .129-128
) (5 : .128 127
- 112 -

 3/3/3/2 :

:
- .
- ). (1
-
) (
) (2 .
-
). (3
4/3/2


). (4
Multiple Linear Objectives Programming

1/4/3/2 :

. ):(5
} Maxi{c1 x = z1

} Maxi{c 2 x = z 2

} Maxi{c k x = z k
st
xS

(1) Lawrence, Lapin: Quantitative Method for Business Decision, Sixth Edition, The Dryden Press, 2000,
p.1114.
(2) Ibid ., P,1157
) (3 : .95
) (4 : .155
) (5 :
1996 .28
- 113 -

 2/4/3/2 :

.
.


). (1

.

5/3/2

Static Goal Programming

:


. .

.
1/5/3/2 :
m

) Mini ( Z ) = wi (d j + d +j
i =1 j =1

subject to :
+ d j d +j = b j

a x
r

r =1 j =1

where all x , s 0

) (1 : .95
- 114 -

 2/5/3/2 :

- .

- 6/3/2

Sequential Goal Programming:

Dynamic Models
) (

.
-
-

"
" .

.

):(1
.

.
-
- -
) (%
).(2

) (1 )( : .40 39
) (2 .173
- 115 -

1:

Charnes & Cooper 1961

Infeasible Solution
).(1
1965 Ijiri ) (2 Lee
) (3

) (4 1967 lgnizio
) (5
Dauer & Krueger 1972
). (6
)(7
-:
)(

Preemptive Goal

: Programming
.
Goal Programming . Partioning Goal Programming

Sequentional

)(
Programming

Non- Preemptive

: Goal

.
.Static Goal Programming
(1) Steuer, Ralph E.: Multiple Criteria Optimization - Theory, Computation, and Application, John Wiley
& Sons, 1986, P. 282.
) (2 : .104
(3) Budnic, Frank S. & et. al ., : Principles of Operations Research for Management, Second Edition,
Irwin, 1988, PP. 431-432.
) (4 : .104
) (5 .104
) (6 : ) (
1994 .8
) (7 : .105
- 116 -


:
- :
) (1
Sub Problems
.
Sequential Decisions

).(2

).(3
- :

Steuer
) (4 ) (5
.

-2 :

:
. . . - .

) (1 : .105 104
(2) Hillier, F.S. & et. al.,: Op. Cit., P 271.
) (3 )( : 1985 .22
(3) Steuer, Ralph E. : Op.Cit., P.292.
) (5 : 102 .103
- 117 -

 3 ):(1
-

.
.
.
.
.
.

-4 :

1/4

Goal Function

. :
Variables

Decisional Variables .
Deviational

- - :

: : ):(2

- :
) ( d - .
- : ) ( d +
.

- :
.(d - + d + ) :

) (1 )( : .27-26
) (2 : .108 - 107
- 118 -

 : :
:
. :
)(1
Ordered Goals
-
Paired Comparisons

) n(n 1 : n .
2

): (2
G2 <<< G3
G2 <<< G4
G3 <<< G4

G1 >>> G2
G1 <<< G3
G1 >>> G4

)<<<(

1
2
3
4

G3
G1
G2
G4

3
2
1
0

.


G3 <<<G2 G2 <<< G1 G3>>> G1
.

)(3
.

(1) Moskowitz , Herbert, & et.al., : Op.Cit., PP 536 537.

) (2 >>> .
) (3 : .110 109
- 119 -

 - ) (
) (


G2 G1
:
Weighted Goals

) Mini . 2( d 1 + d 1+ ) + ( d 2 + d 2+

d - , d + :

Mini . 10 d 1 + 2 d 1+ + 5d 2 + d 2+

2/4

Goal Constraints

:
.
:
:
).(1

)( :
) (d+ ,d- .
)( : :
1/ :
) (d+
.

) (1 : .111
- 120 -

 2/ :
) (d-
.
-:
- ).(1
.

3/4

System Constraints

....

4/4 :

Non Negativity Constraint

- 5 :

1/5

Goal Function
m

) Mini.Z = wi (d j + d +j
i =1 j =1

:
: wi .
: d j )(J
: d +j )(J
: )(i = 1 , 2 , ... , n
i
: )(j = 1 , 2 , ... , m
j

(1) Budnick, Frank. S. & et. al., Op. Cit. P. 434.

- 121 -

 2/5

-1/2/5

Goal Constraints
+ d j d +j = b j

a x
r

r =1 j =1

:
: a r )(.
: xr ) (r
: b j ) (J
: )(r = 1 , 2 , 3 , ..., l
r
2/2/5

Legislation Constraints

xr S r

:
Sr
xr

: )(r
: ) (r

3/2/5

Resources Constraints

4/2/5 :

Non-Negativity Constraint

=1

x
r =1

all x , s,& d , s 0

- 6 : :
1/6 : ) (6 .

= x1 .
= x2 .
= x3 .
= x4 .
= x5 .
= x6 .

.
- 122 -

 2/6 :
.
d 1+
d 1
d 2
d 2+

d 3
d 3+

.
.
.
.
.
.

7 :
1/7 :
1/1/7 : .
2/1/7 : .
3/1/7 : .

2/7 :

Ordered Goals

.
) (1

) - (1/4 %100
%72.7
. %72.7

) (1 :
)( : .502
)( : .238
)( :
1980 .139
- 123 -

 )(1/4

)*(

27.3

72.7

11

100

72.7

27.3

11

100

11

100

11

100

3/7 :
1/3/7 : :
bj

ij

x x
j

i =1 j =1

) (
.
1/1/3/7 ) ( xi : -
) (i ) . ( ij
2/1/3/7 ) :( b j


:
m

Mini.Var(rP ) = xi x j ij
i =1 j =1

S .T .
=1

x
i =1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50
)*( .173
- 124 -

 ) ( xi
) (MVP .

.
2/3/7 :
:
) xi E ( r P

) ri

( E
i =1

:
) : E(r ).(i
i

) E(r P

: .

1/2/3/7 ) ) :( E(r
) 11(
Trimmed mean
% 5 ).(1
2/2/3/7 ) ) :( E(r
) ( MVP
.


.
Goodness Of Fit
2
- Kolmogorov-Smirnov Normality Test
) ( 2 ) (11 ) (2)(30
:
: .
: .
i

) (1 .195 194
) (2 )( )( : 2002 .358
- 125 -

 Minitab ):(1
)(2/4

P value

0.189

P value > 0.15

0.271

P value = 0.063

0.183

P value > 0.15

0.169

P value > 0.15

0.173

P value > 0.15

0.132

P value > 0.15

0.180

P value > 0.15

0.161

P value > 0.15

)(D

3/3/7 :

- :
- :

1/ :

Goal Function

})

( ) ( ) ( {

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

Goal Constraints
Risk Goal Constraint

) d 1+ (2rP

2/ :

ij

x x
j

i =1 j =1

Return Goal Constraint

) + d 2 E ( rP

) (1 .193 -190
- 126 -

) ( ri

x E
i

i =1

 -3/ :

Liquidity Goal Constraint

x6 + d 3 d 3+ = 0.50

- :

System Constraints
=1

x
i =1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

- :

Non-Negativity Constraint
all x & x 0
,
S

,
S

:
. )( .
. "

".

- 8 :

.
)( ).(1
:

(1) Steuer , Ralph E. : Op. Cit., PP. 292-294.

- 127 -

) Goal (1) : {C 1 X = Z 1 }, Where P1 (Z 1 T1

) Goal ( 2 ) : {C 2 X = Z 2 }, Where P2 (Z 2 T2

) Goal (3) : {C 3 X = Z 3 }, Where P3 (Z 3 = T3

subject to :
X S

:
: S .

: )*(:

})

Mini . d 1+ , d 2 , d 3+ + d 3

: :
C1 X d1+ T1
C 2 X + d 2 T2
C 3 X d 3+ + d 3 = T3
Where :
X S
all X , s,&d 3 0

: ) ( :
: :

} {

Mini . d 1+
S .T .

C 1 X d 1+ T1
Where X S
all X , s & d , s 0

)*( :

- 128 -

*) ( d 1+

})

Mini.{w1 (d ) + w2 (d ) + w3 (d + d
+
3

+
1

} {

Mini . d 2
S .T .

* ) C 1 X T1 + ( d 1+
C 2 X + d 2 T 2
Where X S
all X , s & d , s 0

*) ( d 2

Mini . d 3+ + d 3
S .T .

* ) C1 X T1 + ( d 1+
* ) C 2 X T2 ( d 2
C 3 X d 3+ + d 3 = T3
Where X S
all X , s & d , s 0

:
*X
* ) (d 3+ + d 3
* ) (d 2
* ) (d1+

- 9 :

).(1

Win QSP

) (1
.209 196
- 129 -

- 130 -

: 1/1

: 1/1/1

Goal Function

{ ( ) ( ) (

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

)}

: 2/1/1
:

Goal Constraints
Risk Goal Constraint
n

x
i =1 j =1

ij

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0005605
0 .0003771

0 .000436
=
0 .0004741
0 .0001211

0 .0002169

:
0 .001939
0 .00108055
0 .00060909
0 .0003345
0 .0003213

0 .0072532
0 .004903
0 .0041943
0 .00033264

0 .00578887
0 .002766
0 .00091819

0 .00436865
0 .0004787

0 .00085056

x1
x
2
x
xj = 3
x4
x5

x6

Return Goal Constraint

0 .04444 x1 + 0 .1311 x 2 + 0 .16333 x 3 + 0 .1211 x 4 + 0 .0878 x 5 + 0 .1000 x 6 + d 2 E ( rP )

Liquidity Goal Constraint

: -

x6 + d 3 d 3+ = 0.50
System Constraints
n

x
i =1

: 3/1/1

=1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

Non-Negativity Constraint

- 131 -

: 4/1/1

all x S, & d S, 0

- 132 -

 )(3/4

- 133 -

: 1/2

: 1/1/2

Goal Function

{ ( ) ( ) (

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

)}

Goal Constraints
Risk Goal Constraint
n

x
i =1 j =1

ij

: 2/1/2

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0008
0 .00027

0 .00048
=
0 .0011
0 .0007

0 .0001

0 .002086
0 .000713
0 .000142
0 .000479
0 .00032

0 .007657
0
0 .000558
0 .000226

0 .007077
0 .001481
0 .000838

0 .003581
0 .000403

0 .0007413

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.04444 x1 + 0.1078 x 2 + 0.16333 x 3 + 0.16889 x 4 + 0.0533 x 5 + 0.10333 x 6 + d 2 E ( rP )

Liquidity Goal Constraint

: -

x6 + d 3 d 3+ = 0.50
System Constraints
n

i =1

: 3/1/1

xi = 1

x 1 0 . 10
x 2 0 . 20
x 4 0 . 15
x 5 0 . 25
x 6 0 . 50

Non-Negativity Constraint
all x S, & d S, 0

- 134 -

: 4/1/1

- 135 -

 )(4/4

- 136 -

: 1/3

: 1/1/3

Goal Function

{ ( ) ( ) (

Min. w1 d 1+ , w2 d 2 , w3 d 3+ + d 3

)}

Goal Constraints
Risk Goal Constraint
n

x
i =1 j =1

ij

: 2/1/3

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0038177
0 .001546

0 .002407
=
0 .000899
0 .000542

0 .000525

:
0 .0031426
0 .0030601
0 .0020948
0 .0007427
0 .0001603

0 .0064876
0 .0023095
0 .0024255
0 .00081

0 .0042266
0 .0017572
0 .0007232

0 .0029694
0 .000668

0 .001425

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.0411x1 + 0.1300 x 2 + 0.15333 x3 + 0.1600 x 4 + 0.0600 x5 + 0.10000 x 6 + d 2 E (rP )

Liquidity Goal Constraint

: -

+
3

x 6 + d d = 0.50

System Constraints
n

i =1

: 3/1/3

xi = 1

x 1 0 . 10
x 2 0 . 20
x 4 0 . 15
x 5 0 . 25
x 6 0 . 50
Non-Negativity Constraint

- 137 -

: 4/1/3

all x S, & d S, 0

)(5/4

- 138 -

: 1/4

{ ( ) ( ) (

: 1/1/4

Goal Function

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

)}

Goal Constraints
Risk Goal Constraint
n

x
i =1 j =1

ij

: 2/1/4

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0075619
0 .0015264

0 .0060358
=
0 .003676
0 .001824

0 .0002984

:
0 .001817
0 .0007964
0 .002125
0 .0012565
0 .000381

0 .007439
0 .004753
0 .0001618
0 .0004133

0 .0119164
0 .001109
0 .0008093

0 .0063801
0 .001278

0 .0006731

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.1989 x1 + 0.1322 x 2 + 0.16333 x3 + 0.1800 x 4 + 0.1189 x5 + 0.1111x 6 + d 2 E (rP )

Liquidity Goal Constraint

: -

+
3

x 6 + d d = 0.50

System Constraints
n

x
i =1

: 3/1/4

=1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

Non-Negativity Constraint
all x S, & d S, 0
- 139 -

: 4/1/4

 )(6/4

- 140 -

: 1/5

: 1/1/5

Goal Function

{ ( ) ( ) (

Min. w1 d 1+ , w2 d 2 , w3 d 3+ + d 3

)}

: 2/1/5

Goal Constraints

Risk Goal Constraint

n

x
i =1 j =1

ij

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0005158
0 .000204

0 .0003693
=
0 .00034
0 .00123

7 .22 E 05

:
0 .0004355
0 .000254
0 .0007172
0 .0008777
0 .0001908

0 .0077176
0 .0045975
0 .003087
0 .002177

0 .0059164
0 .000313
0 .0020971

0 .0066936
0 .000242

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.0444 x1 + 0.15222 x 2 + 0.17111 x 3 + 0.15333 x 4 + 0.1089 x 5 + 0.1189 x 6 + d 2 E ( rP )

Liquidity Goal Constraint

: -

x6 + d 3 d 3+ = 0.50
System Constraints
n

x
i =1

: 3/1/5

=1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

Non-Negativity Constraint
all x S, & d S, 0
- 141 -

: 4/1/5

 )(7/4

- 142 -

: 1/6

: 1/1/6

Goal Function

{ ( ) ( ) (

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

)}

: 2/1/6

Goal Constraints

Risk Goal Constraint

n

x
i =1 j =1

ij

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

0 .0028576
0 .014274

0 .00139
=
*

0 .000731

:
0 .1937144
0 .008637
*
*
0 .0044312

0 .0052143
*
*
0 .0007132

*
*
0

*
0

0 .0012845

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.08889 x1 + 0.246 x 2 + 0.1800 x3 + 0.0000 x 4 + 0.0000 x5 + 0.1300 x6 + d 2 E (rP )

Liquidity Goal Constraint

: -

x6 + d 3 d 3+ = 0.50
System Constraints
n

x
i =1

: 3/1/6

=1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

Non-Negativity Constraint
all x S, & d S, 0
- 143 -

: 4/1/6

 )(8/4

- 144 -

: 7
: 1/7

: 1/1/7

Goal Function

{ ( ) ( ) (

Min. w1 d1+ , w2 d 2 , w3 d 3+ + d 3

)}

: 2/1/7

Goal Constraints

Risk Goal Constraint

n

x
i =1 j =1

ij

x j d 1+ (2rp )

xi = [x1 x 2 x3 x 4 x5 x 6 ]

ij

2 .185 E 05
7 .34 E 05

0 .0002187
=
7 .29 E 05
2 .01 E 05

3 .79 E 05

:
0 .0020768
0 .002128
0 .0007606
0 .000211
0 .0002255

0 .0079005
0 .0005576
0 .00267
0 .0013515

0 .0051712
0 .003298
0 .0008983

0 .0067534
0 .001424

0 .0018913

x1
x
2
x
xj = 3
x4
x5

x6
Return Goal Constraint

0.05667 x1 + 0.1056 x 2 + 0.17111x3 + 0.12889 x 4 + 0.1144 x5 + 0.10788 x6 + d 2 E ( rP )

Liquidity Goal Constraint

: -

x6 + d 3 d 3+ = 0.50
System Constraints
n

x
i =1

: 3/1/7

=1

x1 0 .10
x 2 0 .20
x 4 0 .15
x 5 0 .25
x 6 0 .50

Non-Negativity Constraint
all x S, & d S, 0
- 145 -

: 4/1/7

 )(9/4

- 146 -

- 144 -



1 ) : (-:
1/1:

.
:
.

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2/1:
1/2/1


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2/2/1
:
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.
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.
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.

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2/2:



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- 146 -

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1/3:

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.


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2/3:

1/2/3

.
2/2/3
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- 147 -




.

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2/4:

1/2/4

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".
2/2/4

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- 148 -

1

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2


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3
.
4
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5

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- 149 -

- 150 -

 : :
- :

.1 )( :
.1988
.2 )( :
.1999
.3 )( :
.1997
.4 )( :
.1992
.5 )( :
.1995
.6 )( :
.2001
.7 )( :
.
.8 )( : .
.9 )( )( :
.2002
.10 )( :
.1998
.11 )( : .
.12 )( : : .1969
.13 )( : .1985
.14 )( :
.2000

- 151 -

 .15 )( :
.2000
.16 )( :
.1997
.17 :
.1999
.18 )( :
.1995
.19 )( :
.1988

- :

.1

.2
.3

.4

.5

)( :

.1980
)( :
.1998
)( :
-
) ( .1993
)( :
)(
.1999
)( :

.1990

- 152 -

 .6 :
-
.1996
.7

.8

.9
.10
.11

.12
.13
.14
.15

.16

.17

)( :

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:

.1996
)( :
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)( :
) (1 .1992
)( :

.1996
)( :
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)( :
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)( :

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)( :

.1998
)( :
) (
.1997
- 153 -

.18

.19

.20

.21

:

- .1998 -
)( :

.1998
)( :

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:
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: .1 :
- .1991
.2 :

.1990
.3 ) (
.1984
.4
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.5 :

.1988
.6 :

.1991
.7 :

.1994
- 154 -

.8
.9

.10
.11
.12
.13

.14
.15

.16
.17
.18

:
.1998
:

.1988
:
.1981
:
- .1997
:
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:

.1987
:
.2000
:

.1998
:
.1985
:
.1987
:

.1997

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: :
- Books :
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.
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........
"
"
:
. . . .

.

. .

.
/

- 159 -

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)(

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--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

-3

)( .
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)( 10-6 .
)( 15-10 .
)( 15 .

- 160 -

-1
.
-2 .
-3
.
-4 .
-5
.
-6 .
-7
.
-8 .
-9
.
-10 .

- 161 -

-11

.
-12

.
-13

.
-14
.
-15
.
-16
.
-17
.
-18
.
-19
.
-20 .
-21
.
-22
.
-23 .

- 162 -


-24

.
-25
.
-26

.
-27 .
-28 .

5
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4
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3
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- 163 -

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--------------------------
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- 164 -