PORTFOLIO OPTIMIZATION BY MULTI-STAGE STOCHASTIC MODEL

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BANIHASHEMI SHOKOOFEH

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Seminar Paper

Paper Information

Seminar: SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS
Year:2016 | Issue:4

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Information Seminar Paper

Title

PORTFOLIO OPTIMIZATION BY MULTI-STAGE STOCHASTIC MODEL

Author(s)

BANIHASHEMI SHOKOOFEH | Issue Writer Certificate

Keywords

PORTFOLIO

MULTI-PERIOD INVESTMENT

RISK MEASURES

Abstract

PORTFOLIO SELECTION PROBLEM IS A CLASSICAL FINANCIAL PROBLEM INTRODUCED BY MARKOWITZ AND INCLUDES TWO PARTS CONSIST OF RISK AND RETURN. THIS MODEL ESTABLISHED A FUNDAMENTAL BASE FOR SINGLE-PERIOD PORTFOLIO SELECTION. IN THE REAL WORLD THE PORTFOLIO STRATEGIES ARE USUALLY MULTI-PERIOD BECAUSE THE INVESTOR IS ABLE TO RE BALANCE HIS PORTFOLIO IN EACH TIME PERIOD. RE BALANCING THE PORTFOLIO, THE INVESTOR INCURS TRANSACTION COSTS. ALSO, MULTI- PERIOD MODELS CAN BE DEFINED AS STOCHASTIC. SCENARIO TREE GENERATION CAN IMPROVE THE PERFORMANCE OF MULTI-PERIOD STOCHASTIC PROGRAMMING.AT THE BEGINNING VARIANCE WAS CONSIDERED AS A RISK MEASURE.HOWEVER, BOTH THEORIES AND PRACTICES INDICATE THAT VARIANCE IS NOT A GOOD MEASURE OF RISK AND HAS SOME DISADVANTAGE. THEREFORE, DOWNSIDE RISK MEASURES, SUCH AS SEMIVARIANCE, DOWNSIDE BETA COEFFICIENT, VALUE-AT-RISK (VAR), OR CONDITIONAL VALUE-AT-RISK (CVAR) SHOULD BE REPLACED WITH VARIANCE. IN THIS PAPER, A MULTI OBJECTIVE MODEL IS PRESENTED FOR PORTFOLIO SELECTION, CHARACTERIZED ON THE BASIS OF THREE PARAMETERS: THE EXPECTED VALUE, DOWNSIDE COEFFICIENT AND CONDITIONAL VALUE AT RISK (CVAR) AT A SPECIFIED CONFIDENCE LEVEL.

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APA: Copy

BANIHASHEMI, SHOKOOFEH. (2016). PORTFOLIO OPTIMIZATION BY MULTI-STAGE STOCHASTIC MODEL. SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS. SID. https://sid.ir/paper/940294/en

Vancouver: Copy

BANIHASHEMI SHOKOOFEH. PORTFOLIO OPTIMIZATION BY MULTI-STAGE STOCHASTIC MODEL. 2016. Available from: https://sid.ir/paper/940294/en

IEEE: Copy

SHOKOOFEH BANIHASHEMI, “PORTFOLIO OPTIMIZATION BY MULTI-STAGE STOCHASTIC MODEL,” presented at the SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS. 2016, [Online]. Available: https://sid.ir/paper/940294/en

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