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Applying Monte Carlo Concept and Linear Programming in Modern Portfolio Theory to Obtain Best Weighting Structure

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Academic year: 2018

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Figure 1. General flow of Monte Carlo simulation
Figure 3. Historical data filtering
Figure 5. Model in flowchart** subject to total constraints
Table 1. List of selected stocks out of LQ-45
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Applying Monte Carlo Concept and Linear Programming in Modern Portfolio Theory to Obtain Best Weighting Structure

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