ROBUST MODEL FOR OPTIMAL PORTFOLIO SELECTION

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FALLAHPOUR SAEID; TONDNEVIS FARID

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Journal: INVESTMENT KNOWLEDGE Year:2014 | Volume:3 | Issue:10 Page(s): 67-84

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Information Journal Paper

Title

ROBUST MODEL FOR OPTIMAL PORTFOLIO SELECTION

Author(s)

FALLAHPOUR SAEID | TONDNEVIS FARID | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATIONQ2

ROBUST OPTIMIZATIONQ2

MARKOWITZ MODELQ2

SHARPE RATIOQ2

Abstract

In this paper, we developed ROBUST OPTIMIZATION approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can control the conservativeness of investor for portfolio selection by a defined parameter. We used 50 active company of Tehran exchange stock in 3 first months of 1392 to study the performance of model. The results of paired comparisons in out of sample experiments shows that Markowitz portfolio which has same expected return by robust portfolio, has lower SHARPE RATIO.

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APA: Copy

FALLAHPOUR, SAEID, & TONDNEVIS, FARID. (2014). ROBUST MODEL FOR OPTIMAL PORTFOLIO SELECTION. INVESTMENT KNOWLEDGE, 3(10), 67-84. SID. https://sid.ir/paper/188014/en

Vancouver: Copy

FALLAHPOUR SAEID, TONDNEVIS FARID. ROBUST MODEL FOR OPTIMAL PORTFOLIO SELECTION. INVESTMENT KNOWLEDGE[Internet]. 2014;3(10):67-84. Available from: https://sid.ir/paper/188014/en

IEEE: Copy

SAEID FALLAHPOUR, and FARID TONDNEVIS, “ROBUST MODEL FOR OPTIMAL PORTFOLIO SELECTION,” INVESTMENT KNOWLEDGE, vol. 3, no. 10, pp. 67–84, 2014, [Online]. Available: https://sid.ir/paper/188014/en

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