Drawing the efficient term for Markowitz using the nonlinear GRG algorithm - an analytical study in the Iraqi Stock Exchange

Abstract

Markowitz gave in 1952 a description of the efficient limit on which a group of efficient portfolios lies, which leads to the highest return at a certain level of risk or that leads to the lowest risk at a certain level of return. Despite the development that the modern portfolio theory has made since its emergence until now, its practical application is shrouded in many difficulties. Among these difficulties are mathematical complications represented in the difficulty of finding a solution to the quadratic programming problem. This study approached the use of the nonlinear generalized gradient gradient (GRG) algorithm in the interpolation mode in quadratic programming with the aim of reaching the maximum number of users in the crossing attempt.In order to draw competency using this algorithm, a detailed analysis of the study was carried out, represented by 39 out of 130 companies listed on the Iraq Stock Exchange for the period from March 2015 to January 2021. Financial, mathematical and statistical have been building (27) efficient portfolios and using returns. Risks and Evolution Events of Markowitz Inefficiency. Based on the results of the study, the study concluded, and collected portfolios that excel in the first: The free and distinctive experimental results of the algorithm in building efficient portfolios and drawing the threshold for Markowitz proved that they are investing in portfolios that outperform the market portfolio. The study came out with many financial activities in the Iraq Stock Exchange in financing them as a guide to work, as this distinctive image enables them, in an easy way, to build efficient portfolios and draw the efficiency of Markowitz, the need to amend the quadratic programming and time, so see the performance of these portfolios more efficiently and best requests from the market portfolio.