Portfolio Selection Strategies in Bursa Malaysia Based on Quadratic Programming

Abstract

The study aims to select the efficient portfolio on stock listed in Bursa Malaysia by using the quadratic programming method. It can help the investors to gain expected returns from the diversification portfolio. However, there are some problems that should be considered such as the measurement of inputs for Mean-Variance Models (MVM), use of portfolio models through time and consistency with management objectives in the portfolio. These problems will affect the performance of selected portfolio and cause the loss problem. Therefore, this study implements a quadratic programming approach to select an efficient portfolio on stocks listed in Bursa Malaysia. The study will choose 15 potential companies which have the best performance in the Bursa Malaysia. Quadratic programming (QP) model can solve any type of mathematical optimisation problem in the study. Therefore, investors can optimise the investment portfolio returns by using QP methods. However, we can observe the efficient frontier which is a graph that representing a list of portfolios that optimising expected return for a different level of portfolio risk so can help the investors make a good decision. The findings of this study will give important inputs, especially to the investors to maximise their portfolio return at different level of risks.