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Investigação Operacional
Print version ISSN 0874-5161
Abstract
JUDICE, Joaquim João; RIBEIRO, Celma O. and SANTOS, Jorge P. J.. A comparative analysis of the Markowitz and Konno portfolio selection models. Inv. Op. [online]. 2003, vol.23, n.2, pp.211-224. ISSN 0874-5161.
In this paper Konno portfolio selection model is presented and compared with Markowitz classical model. The computational effort for finding an optimal portfolio by both models is investigated and the quality of the corresponding portfolios is analyzed. The use of these two models in real-life capital markets is finally discussed.
Keywords : Portfolio Selection Models; Risk Analysis; Linear Programming; Quadratic Programming.