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Deniz, E. (2009) Multi-Period Scenario Generation to Support Portfolio Optimization. PhD Thesis, Rutgers, The State University of New Jersey, New Brunswick, NJ.
KEYWORDS: Markowitz Model
ABSTRACT: We apply Markowitz portfolio theory to Mongolian economy in order to define optimal budget structure. We assume that the government revenue is a portfolio consisting of seven major taxes and non-tax revenues. We minimize the variance of the portfolio under fixed return of the government revenue. This optimization problem has been solved by the conditional gradient method on MATLAB. Computational results based on Mongolian economic data are provided.