Solve the problem of drawing the efficient frontier of Markowitz using the nonlinear GRG method
Analytical study in the Iraq Stock Exchange
Presented by
Sara Arif Abnea Chiyad Al-Jubouri
To the Council of the College of Administration and
Economics, Karbala University, in Partial Fulfillment of the
Requirements for Master’s degree in Finance and Banking
Under supervision
Maitham Rabee Hadi Al-Hassnawi
Since 1952, the investment community began to actually deal with the theory behind the concept of diversification, when Harry Markowitz published, which laid the foundation for what is now known as the Inheritance Theory. He gave a mark of good conduct. For example, difficulty stage having difficulty finding difficulty in finding difficulty in difficulty. Perhaps this photo is from the side together. This study approached the use of the nonlinear generalized gradient gradient (GRG) algorithm in the interpolation mode in quadratic programming with the aim of reaching the maximum number of users in the crossing attempt.
In order to draw competency using this algorithm, a detailed analysis of the study was carried out, represented by 39 out of 130 companies listed on the Iraq Stock Exchange for the period from March 2015 to January 2021. Financial, mathematical and statistical have been building (27) efficient portfolios and using their habits. Risks and Evolution Events of Markowitz Inefficiency. Based on the results of the study, the study concluded, and collected portfolios that excel in the first: The free and distinctive experimental results of the algorithm in building efficient portfolios and drawing the threshold for Markowitz proved that they are investing in portfolios that outperform the market portfolio.
The study came out with many financial activities in the Iraq Stock Exchange in financing them as a guide to work, as this distinctive image enables them, in an easy way, to build efficient portfolios and draw the efficiency of Markowitz, the need to amend the quadratic programming and time, so see the performance of these portfolios more efficiently and best requests from the market portfolio.
Key words: modern simulation theory, efficiency limit, optimization, nonlinear GRG method.
