Portfolio Optimization in Capital Market Bubble Condition

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DARYABOR ABDOLLAH; RAHNAMA ROODPOSHTI FEREYDOON; NIKOOMARAM HASHEM; GHAFFARI FARHAD

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 113-126

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Title

Portfolio Optimization in Capital Market Bubble Condition

Author(s)

DARYABOR ABDOLLAH | RAHNAMA ROODPOSHTI FEREYDOON | NIKOOMARAM HASHEM | GHAFFARI FARHAD | Issue Writer Certificate

Keywords

Bubble StockQ2

portfolio optimizationQ1

Sharpe ratioQ2

Treynor ratioQ2

Jensen’s alphaQ2

Information ratioQ2

Abstract

Financial markets, especially capital markets, are considered the main tools for equipping and allocating financial resources. With regard to the strategic, financial and economic importance of such markets, whenever a widespread disruption or deviation occurs, it becomes extremely difficult to equip and allocate a country’ s financial resources. One of the contributing factors is price bubble. In fact, the essence of price bubbles lies in the reactions to price hikes. Thus, the increase in prices leads to greater investor appetite, higher demand and ultimately another price hike. In such occasions, the investment managers plan to optimize their stock portfolios. In other words, they intend to bring about maximum return for customers and shareholders in exchange for a certain level of risk. This study attempted to examine several variables such as stock price, stock monthly return, overall market return, variance, standard deviation, var and Downside Risk to a new model within the bubble space at Tehran Stock Exchange (TSE) for period (2000-2015). At first, the effects of bubble were proven and the junctures were identified for 7 periods. Then, the variables were analyzed to achieve an optimization model, adopting an approach similar to Sharpe’ s, where the extracted optimum portfolio brought about a far more desirable position for the investors than other portfolios under non-bubble conditions involving return, Sharpe, Treynor and Jensen. The main hypothesis was proven and a new model was proposed to achieve the ideal results through analyzing the model within an ascending bubble space as well as a descending bubble space, which were then compared against a non-bubble space.

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APA: Copy

DARYABOR, ABDOLLAH, RAHNAMA ROODPOSHTI, FEREYDOON, NIKOOMARAM, HASHEM, & GHAFFARI, FARHAD. (2019). Portfolio Optimization in Capital Market Bubble Condition. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 113-126. SID. https://sid.ir/paper/200348/en

Vancouver: Copy

DARYABOR ABDOLLAH, RAHNAMA ROODPOSHTI FEREYDOON, NIKOOMARAM HASHEM, GHAFFARI FARHAD. Portfolio Optimization in Capital Market Bubble Condition. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):113-126. Available from: https://sid.ir/paper/200348/en

IEEE: Copy

ABDOLLAH DARYABOR, FEREYDOON RAHNAMA ROODPOSHTI, HASHEM NIKOOMARAM, and FARHAD GHAFFARI, “Portfolio Optimization in Capital Market Bubble Condition,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 113–126, 2019, [Online]. Available: https://sid.ir/paper/200348/en

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