Proceedings of the 2nd International Conference on Education, Management and Social Science

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The Solving Algorithm for Harlow's Optimal LPM' Portfolio Model Based on MATLAB and Empirical Research on Precious Metals Investment in China

Authors
Shuo Liu, Xin Yin, Ying Wang, LiSha Hou, SiJia Ye
Corresponding Author
Shuo Liu
Available Online August 2014.
DOI
10.2991/icemss-14.2014.61How to use a DOI?
Keywords
risk, LPM statistic value, optimal portfolio, MATLAB, solving algorithm
Abstract

Measuring the risk of asset is the core problem of conforming optimal portfolio and assets management. Compared with the Markowitz portfolio optimization theory, downside risk will reflect the mental features of investors much better and have higher efficiency of resource allocation. So, downside risk is widely used in investment and assets management. Harlow's optimal LPM' portfolio model is a typical assets management model based on downside risk which has sound theoretical basis and mathematical version, but it’s hard to solve the optimal portfolio especially facing large number of different capitals and assets. Given this reason, this paper programs a general purpose program for solving the Harlow's model based on MATLAB M-files; and then collects a certain amount of data about precious metals investment in China to do empirical research. The results of the empirical research show the correctness and high efficiency of the MATLAB algorithm, and the MATLAB algorithm improve the practicability and usability of Harlow's optimal LPM' portfolio model.

Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2nd International Conference on Education, Management and Social Science
Series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2014
ISBN
978-94-62520-30-1
ISSN
2352-5398
DOI
10.2991/icemss-14.2014.61How to use a DOI?
Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Shuo Liu
AU  - Xin Yin
AU  - Ying Wang
AU  - LiSha Hou
AU  - SiJia Ye
PY  - 2014/08
DA  - 2014/08
TI  - The Solving Algorithm for Harlow's Optimal LPM' Portfolio Model Based on MATLAB and Empirical Research on Precious Metals Investment in China
BT  - Proceedings of the 2nd International Conference on Education, Management and Social Science
PB  - Atlantis Press
SP  - 217
EP  - 220
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemss-14.2014.61
DO  - 10.2991/icemss-14.2014.61
ID  - Liu2014/08
ER  -