Efikasan skup portfolia i kvadratno programiranje
Efficient Portfolio Set and Quadratic Pogramming

Summary/Abstract: Modern portfolio theory is based on multivariate analysis of stocks and portfolio. In this paper we analyze data that pertain to returns on stocks and portfolio risk in order to determine an efficient portfolio set. The efficient set contains all combinations of investments in specific stocks which bring the greatest returns for a given level of risk or the least risk associated with a given level of yield. We can mathematically define different optimization problems and solve them in order to determine the efficient portfolio set. This paper explains how quadratic programming can be used to solve the above optimization problems. Also, we present an algorithm which enables problems of quadratic programming to be solved. We implement the algorithm for determination of the efficient portfolio set that is comprised of 30 stocks traded on Sarajevo Stock Exchange (SASE) between May 2006 and May 2008.

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