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Analysis of Portfolio Optimization with Inequality Constraints
In investing, generally an investor wants an optimum portfolio. This means that the
forming portfolio has minimum risk, maximum return or can also be a combination of both
with other constraints determined by the investor. These constraints could be in the form of
short selling, amount of owning funds, return target, risk target or other constraints. Short
selling constraints are inequality in the mathematical model, while other constraints can be in
the form of equalities or inequalities. This paper discusses the portfolio optimization with these
inequality constraints. In addition, we will provide an example for this portfolio optimization
application by analysing portfolio that consists of shares in the LQ45 index. We do this
analysis with Solver that is available in Microsoft Excel.
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