PORTFOLIO OPTIMIZATION WITH CLUSTERING METHODS

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SOLTANI NEJAD MOHAMMAD; DAVALLOU MARYAM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:4 | Issue:4 (15) Page(s): 1-16

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Information Journal Paper

Title

PORTFOLIO OPTIMIZATION WITH CLUSTERING METHODS

Author(s)

SOLTANI NEJAD MOHAMMAD | DAVALLOU MARYAM | Issue Writer Certificate

Keywords

CLUSTERING METHODSQ1

CORRELATION COEFFICIENT MATRIXQ1

PORTFOLIO OPTIMIZATIONQ1

Abstract

The portfolio selection problem and optimizing it is an important issue in investment field. This process aims to create A portfolio that incur the minimum amount of risk to the investor in different levels of return. The existence of statistical uncertainty and noise in information, which is used in the process of optimization, would hamper the performance of optimized portfolios. The purpose of this article is to eliminate the noise of CORRELATION COEFFICIENT MATRIX by using clustering method. In order to do so, two CLUSTERING METHODS, Single Linkage and Average Linkage, are applied, and the optimized portfolio based on the Tehran Stock Exchange information from March 2007 to March 2013 is obtained. The results show that such portfolio is more reliable and provides less risk to the capital owner. For analyzing the robustness of the results in a wide range of different investment horizons and numbers of assets, a Bootstrap analysis with resampling is performed and in most cases a significant improvement was observed.

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APA: Copy

SOLTANI NEJAD, MOHAMMAD, & DAVALLOU, MARYAM. (2017). PORTFOLIO OPTIMIZATION WITH CLUSTERING METHODS. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(4 (15) ), 1-16. SID. https://sid.ir/paper/245699/en

Vancouver: Copy

SOLTANI NEJAD MOHAMMAD, DAVALLOU MARYAM. PORTFOLIO OPTIMIZATION WITH CLUSTERING METHODS. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;4(4 (15) ):1-16. Available from: https://sid.ir/paper/245699/en

IEEE: Copy

MOHAMMAD SOLTANI NEJAD, and MARYAM DAVALLOU, “PORTFOLIO OPTIMIZATION WITH CLUSTERING METHODS,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 4 (15) , pp. 1–16, 2017, [Online]. Available: https://sid.ir/paper/245699/en

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