PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN

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RAHNAMAY ROODPOSHTI F.; NIKOOMARAM HASHEM; TOLOIE ESHLAGHI ABBAS; HOSSEINZADEH LOTFI FARHAD; BAYAT MARZIEH

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:22 Page(s): 29-59

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Title

PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN

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Keywords

RISKQ2

RETURNQ2

PORTFOLIOQ2

CLASSIC OPTIMIZATIONQ1

ROBUST OPTIMIZATIONQ2

Abstract

Following the publication of Markowitz’s Article in 1952, coming up with the best way for optimizing the PORTFOLIO has been always one of the concerns ahead of the activists in the investment management industry. In the recent decade, the introduction of the mathematical and operational research models is one of the activities which could affect the PORTFOLIO optimization. The present research tries to optimize PORTFOLIO making use of the ROBUST OPTIMIZATION and the estimate of the PORTFOLIO RETURN and RISK and the comparison of the predicted RISK and RETURN of this model with those of the classic one. The research studies 115 monthly PORTFOLIOs within some ten years and estimates the RISK and RETURN of each PORTFOLIO based on two ROBUST OPTIMIZATION and classic model. At the next stage, the research makes use of average pair test to determine any significant difference between the RISK and RETURN predicted for the above model. The present research determined that the RETURN predicted for the robust model is way above that of the classic model; and the RISK predicted for the robust model is way below the RISK predicted for the classic model. while the real RISK of PORTFOLIOs optimized by the robust method is way below those optimized by the classic method. The results obtained on the estimate of the RETURN coincide with the findings of the foreign studies and does not have any difference with these researches in RISK estimation. It goes without saying that none of the foreign and domestic studies have dealt with the performance of the PORTFOLIOs optimized by these two models.

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APA: Copy

RAHNAMAY ROODPOSHTI, F., NIKOOMARAM, HASHEM, TOLOIE ESHLAGHI, ABBAS, HOSSEINZADEH LOTFI, FARHAD, & BAYAT, MARZIEH. (2015). PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(22), 29-59. SID. https://sid.ir/paper/197598/en

Vancouver: Copy

RAHNAMAY ROODPOSHTI F., NIKOOMARAM HASHEM, TOLOIE ESHLAGHI ABBAS, HOSSEINZADEH LOTFI FARHAD, BAYAT MARZIEH. PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(22):29-59. Available from: https://sid.ir/paper/197598/en

IEEE: Copy

F. RAHNAMAY ROODPOSHTI, HASHEM NIKOOMARAM, ABBAS TOLOIE ESHLAGHI, FARHAD HOSSEINZADEH LOTFI, and MARZIEH BAYAT, “PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 22, pp. 29–59, 2015, [Online]. Available: https://sid.ir/paper/197598/en

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