Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling

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Emamgheisi S. Ebrahimi; Davoodi S. Mohammad Reza

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:12 | Issue:44 Page(s): 1-9

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Title

Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling

Author(s)

Emamgheisi S. Ebrahimi | Davoodi S. Mohammad Reza | Issue Writer Certificate

Keywords

multi-period portfolioQ1

dynamic programmingQ1

orthogonal projection theoremQ1

self-finance portfolioQ1

Abstract

The present study is an applied and descriptive-analytic research, while investigating a multi-period portfolio, below the optimal calculated responses to the analytical form of Skaf and Boyd (2009) for models with limited transaction costs and the impossibility The sale of borrowings in the Tehran Stock Exchange is reviewed. In this research, the first 30 active companies in the Tehran Stock Exchange, which have the highest ratings in the period between 2011 and 2016, were first selected, and then, using data envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality. envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality.

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APA: Copy

Emamgheisi, S. Ebrahimi, & Davoodi, S. Mohammad Reza. (2020). Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(44 ), 1-9. SID. https://sid.ir/paper/200281/en

Vancouver: Copy

Emamgheisi S. Ebrahimi, Davoodi S. Mohammad Reza. Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;12(44 ):1-9. Available from: https://sid.ir/paper/200281/en

IEEE: Copy

S. Ebrahimi Emamgheisi, and S. Mohammad Reza Davoodi, “Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 44 , pp. 1–9, 2020, [Online]. Available: https://sid.ir/paper/200281/en

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