COMPARISON OF THE BEHAVIOR OF INTERNATIONAL OPTIMUM PORTFOLIOS BASED ON CONSTANT AND DYNAMIC CONDITIONAL CORRELATION APPROACHES

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MANSOURFAR GH.R.; DIDAR H.; MOHAMMADI M.

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2013 | Volume:1 | Issue:1 Page(s): 75-91

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Title

COMPARISON OF THE BEHAVIOR OF INTERNATIONAL OPTIMUM PORTFOLIOS BASED ON CONSTANT AND DYNAMIC CONDITIONAL CORRELATION APPROACHES

Author(s)

MANSOURFAR GH.R. | DIDAR H. | MOHAMMADI M. | Issue Writer Certificate

Keywords

OPTIMIZING PORTFOLIOSQ2

MULTIPLE FITNESS FUNCTIONS GENETIC ALGORITHMQ2

DYNAMIC CONDITIONAL CORRELATIONQ2

BEHAVIOR OF PORTFOLIOQ2

Abstract

The issue of the optimal portfolio selection has always been one of the essential concerns of the investors. One of the famous models for this purpose is the Mean-Variance model of Markowitz. While Markowitz uses static correlation in his model, the recent studies have shown that correlation between the assets change over time. Accordingly, this research first investigates the consistency of the correlation matrices of return among the selected financial markets. In addition, developing the Markowitz's Mean-Variance model and using the MULTIPLE FITNESS FUNCTIONS GENETIC ALGORITHM, it tries to compare the behavior of the optimal portfolios based on two models of "Dynamic Conditional Correlation" and "Static Correlation". Hence, market price index of three groups of the Middle Eastern developing, South East Emerging and some of the developing countries have been collected. The findings confirm inequality of the correlation matrices of return during the period of study and also show that there is a significant difference between the behavior of international optimal portfolios based on the static and dynamic models.

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APA: Copy

MANSOURFAR, GH.R., DIDAR, H., & MOHAMMADI, M.. (2013). COMPARISON OF THE BEHAVIOR OF INTERNATIONAL OPTIMUM PORTFOLIOS BASED ON CONSTANT AND DYNAMIC CONDITIONAL CORRELATION APPROACHES. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 1(1), 75-91. SID. https://sid.ir/paper/245727/en

Vancouver: Copy

MANSOURFAR GH.R., DIDAR H., MOHAMMADI M.. COMPARISON OF THE BEHAVIOR OF INTERNATIONAL OPTIMUM PORTFOLIOS BASED ON CONSTANT AND DYNAMIC CONDITIONAL CORRELATION APPROACHES. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2013;1(1):75-91. Available from: https://sid.ir/paper/245727/en

IEEE: Copy

GH.R. MANSOURFAR, H. DIDAR, and M. MOHAMMADI, “COMPARISON OF THE BEHAVIOR OF INTERNATIONAL OPTIMUM PORTFOLIOS BASED ON CONSTANT AND DYNAMIC CONDITIONAL CORRELATION APPROACHES,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 1, no. 1, pp. 75–91, 2013, [Online]. Available: https://sid.ir/paper/245727/en

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