Constructing an Index Fund Using Interior Point Primal- Dual Method
Independent thesis Advanced level (degree of Master (Two Years)), 30 credits / 45 HE creditsStudent thesis
Optimization methods nowadays play a very important role in financial decisions such as portfolio managements, construction of index funds and pension funds.
This Master Thesis is devoted to the problem of an index fund construction. The problem is represented as a linear optimization problem of re-balancing the portfolio at minimum cost and solved using the Primal-Dual interior point method. The index fund is constructed using ten companies from the Dow Jones Industrial Average Index (DJIA).
The Primal-Dual interior point method was first implemented in Matlab and later on in Java.
Place, publisher, year, edition, pages
2011. , 110 p.
Index fund, interior point method, primal dual method, linear programming model
IdentifiersURN: urn:nbn:se:mdh:diva-13041OAI: oai:DiVA.org:mdh-13041DiVA: diva2:442249
Subject / course
2011-06-13, R3-121, Mälardalen University | Box 883 | 721 23, Västerås, 13:15 (English)
UppsokPhysics, Chemistry, Mathematics
Mishchenko, Kateryna, PHD
Malyarenko, Anatoliy, Professor