STUDY OF PORTFOLIO OPTIMIZATION BASED ON DOWNSIDE RISK, UPSIDE POTENTIAL AND BEHAVIORAL VARIABLES EFFICIENCY

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NIKOOMARAM HASHEM; SAEIDI ALI; HAGHSHENAS FARIDEH; MIRABBASI YAVAR

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:34 Page(s): 305-333

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Information Journal Paper

Title

STUDY OF PORTFOLIO OPTIMIZATION BASED ON DOWNSIDE RISK, UPSIDE POTENTIAL AND BEHAVIORAL VARIABLES EFFICIENCY

Author(s)

NIKOOMARAM HASHEM | SAEIDI ALI | HAGHSHENAS FARIDEH | MIRABBASI YAVAR | Issue Writer Certificate

Keywords

DOWNSIDE RISKQ1

PORTFOLIOQ1

UPSIDE POTENTIALQ1

UPSIDE POTENTIAL ADJUSTED PORTFOLIO OPTIMIZATIONQ1

Abstract

While available models to measure the risk don’t consider the positive side of stock return probability distribution, this research tries to optimize the PORTFOLIO based on adjusted lower partial momentum (ALPM) with UPSIDE POTENTIAL and behavioral variables to compare the result with modern PORTFOLIO theory model which is one of the basic models in this area.This research studies 144 monthly PORTFOLIOs of industry indices in Tehran Stock Exchange within 12 years and compute realized rate of return for those PORTFOLIOs in next month. In the next stage the research make use of variance analysis between realized rates of return for PORTFOLIOs made by two models.The present research determined that realized rate of return for PORTFOLIOs made by ALPM are higher than modern PORTFOLIO theory model when investors are DOWNSIDE RISK averse and UPSIDE POTENTIAL lover. However in condition that investors are DOWNSIDE RISK averse and UPSIDE POTENTIAL averse there is not any difference between two model as well as when investors are DOWNSIDE RISK averse and UPSIDE POTENTIAL neutral.

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APA: Copy

NIKOOMARAM, HASHEM, SAEIDI, ALI, HAGHSHENAS, FARIDEH, & MIRABBASI, YAVAR. (2018). STUDY OF PORTFOLIO OPTIMIZATION BASED ON DOWNSIDE RISK, UPSIDE POTENTIAL AND BEHAVIORAL VARIABLES EFFICIENCY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(34 ), 305-333. SID. https://sid.ir/paper/197577/en

Vancouver: Copy

NIKOOMARAM HASHEM, SAEIDI ALI, HAGHSHENAS FARIDEH, MIRABBASI YAVAR. STUDY OF PORTFOLIO OPTIMIZATION BASED ON DOWNSIDE RISK, UPSIDE POTENTIAL AND BEHAVIORAL VARIABLES EFFICIENCY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(34 ):305-333. Available from: https://sid.ir/paper/197577/en

IEEE: Copy

HASHEM NIKOOMARAM, ALI SAEIDI, FARIDEH HAGHSHENAS, and YAVAR MIRABBASI, “STUDY OF PORTFOLIO OPTIMIZATION BASED ON DOWNSIDE RISK, UPSIDE POTENTIAL AND BEHAVIORAL VARIABLES EFFICIENCY,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 34 , pp. 305–333, 2018, [Online]. Available: https://sid.ir/paper/197577/en

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