PORTFOLIO OPTIMIZATION FOR RETAIL INVESTORS, WITH THE APPROACH OF MULTIVARIATE GARCH MODELS

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EBRAHIMI SEYED BABAK; EMADI SEYED MORTEZA

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Journal: INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN) Year:2017 | Volume:28 | Issue:1 Page(s): 149-160

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Title

PORTFOLIO OPTIMIZATION FOR RETAIL INVESTORS, WITH THE APPROACH OF MULTIVARIATE GARCH MODELS

Author(s)

EBRAHIMI SEYED BABAK | EMADI SEYED MORTEZA | Issue Writer Certificate

Keywords

MARKOWITZ MODELQ1

RETAIL INVESTORSQ1

MULTIVARIATE GARCH MODELSQ1

INVESTMENT PORTFOLIOQ1

Abstract

In recent years, willingness to invest and trade of securities has been grown by RETAIL INVESTORS. This group of investors, mainly trade in average or low volume levels, therefor they should consider some restrictions which have not been added to most classic financial portfolio optimization models such as Markowitz. Some of these limitations are transaction costs and the number of assets in the portfolio. In this paper, the constraints of model have been modified to maximizing the portfolio return and achieve better risk estimation and also five activated industrial indexes has been chosen since 2009 up to 2012 and optimal INVESTMENT PORTFOLIO was formed with the noticed model. We hired, multivariate GARCH family models (MGARCH) as Vech, BEKK, CCC and DCC to reach conditional covariance’s matrix and then we calculate, the optimal portfolio weights for each group of industries.

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APA: Copy

EBRAHIMI, SEYED BABAK, & EMADI, SEYED MORTEZA. (2017). PORTFOLIO OPTIMIZATION FOR RETAIL INVESTORS, WITH THE APPROACH OF MULTIVARIATE GARCH MODELS. INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN), 28(1 ), 149-160. SID. https://sid.ir/paper/65631/en

Vancouver: Copy

EBRAHIMI SEYED BABAK, EMADI SEYED MORTEZA. PORTFOLIO OPTIMIZATION FOR RETAIL INVESTORS, WITH THE APPROACH OF MULTIVARIATE GARCH MODELS. INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN)[Internet]. 2017;28(1 ):149-160. Available from: https://sid.ir/paper/65631/en

IEEE: Copy

SEYED BABAK EBRAHIMI, and SEYED MORTEZA EMADI, “PORTFOLIO OPTIMIZATION FOR RETAIL INVESTORS, WITH THE APPROACH OF MULTIVARIATE GARCH MODELS,” INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING AND PRODUCTION MANAGEMENT (IJIE) (INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE) (PERSIAN), vol. 28, no. 1 , pp. 149–160, 2017, [Online]. Available: https://sid.ir/paper/65631/en

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