ROBUST PORTFOLIO OPTIMIZATION USING CAPM

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GHARAKHANI MOHSEN; SADJADI SEYED JAFAR; SAFARI EHRAM

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Journal Paper

Paper Information

Journal: PRODUCTION AND OPERATIONS MANAGEMENT Year:2013 | Volume:4 | Issue:1 (6) Page(s): 61-68

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Information Journal Paper

Title

ROBUST PORTFOLIO OPTIMIZATION USING CAPM

Author(s)

GHARAKHANI MOHSEN | SADJADI SEYED JAFAR | SAFARI EHRAM | Issue Writer Certificate

Keywords

ROBUST OPTIMIZATIONQ1

PORTFOLIO SELECTIONQ2

CAPMQ2

INVESTMENTQ2

CAPMQ2

INVESTMENTQ2

Abstract

In this paper, a new robust model of multi-period portfolio problem has been developed. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and ROBUST OPTIMIZATION. Applying these techniques to multi-period portfolio problem may increase the problem size in a way that the resulting model is intractable. In this paper, a novel approach has been proposed to formulate multi-period portfolio problem as an uncertain linear program assuming that asset return follows the single-index factor model. ROBUST OPTIMIZATION technique has been also used to solve the problem. In order to evaluate the performance of the proposed model, a numerical example has been applied using simulated data.

Cites

A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION

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APA: Copy

GHARAKHANI, MOHSEN, SADJADI, SEYED JAFAR, & SAFARI, EHRAM. (2013). ROBUST PORTFOLIO OPTIMIZATION USING CAPM. PRODUCTION AND OPERATIONS MANAGEMENT, 4(1 (6)), 61-68. SID. https://sid.ir/paper/217598/en

Vancouver: Copy

GHARAKHANI MOHSEN, SADJADI SEYED JAFAR, SAFARI EHRAM. ROBUST PORTFOLIO OPTIMIZATION USING CAPM. PRODUCTION AND OPERATIONS MANAGEMENT[Internet]. 2013;4(1 (6)):61-68. Available from: https://sid.ir/paper/217598/en

IEEE: Copy

MOHSEN GHARAKHANI, SEYED JAFAR SADJADI, and EHRAM SAFARI, “ROBUST PORTFOLIO OPTIMIZATION USING CAPM,” PRODUCTION AND OPERATIONS MANAGEMENT, vol. 4, no. 1 (6), pp. 61–68, 2013, [Online]. Available: https://sid.ir/paper/217598/en

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