Robust Portfolio Optimization using CAPM Approach
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 robu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2013-08-01
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| Series: | مدیریت تولید و عملیات |
| Subjects: | |
| Online Access: | http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-185-1&slc_lang=en&sid=1 |
| _version_ | 1797765334045818880 |
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| author | mohsen gharakhani jafar sadjadi Ehram Safari |
| author_facet | mohsen gharakhani jafar sadjadi Ehram Safari |
| author_sort | mohsen gharakhani |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-12T20:09:42Z |
| format | Article |
| id | doaj.art-71749d26048c4fb2a998d01c7a7c3edf |
| institution | Directory Open Access Journal |
| issn | 2251-6409 2423-6950 |
| language | fas |
| last_indexed | 2024-03-12T20:09:42Z |
| publishDate | 2013-08-01 |
| publisher | University of Isfahan |
| record_format | Article |
| series | مدیریت تولید و عملیات |
| spelling | doaj.art-71749d26048c4fb2a998d01c7a7c3edf2023-08-02T01:51:38ZfasUniversity of Isfahanمدیریت تولید و عملیات2251-64092423-69502013-08-01416168Robust Portfolio Optimization using CAPM Approachmohsen gharakhani0jafar sadjadi1Ehram Safari2 Qom university iran University of Science & Technology iran University of Science & Technology 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.http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-185-1&slc_lang=en&sid=1Robust optimization Portfolio selection CAPM Investment |
| spellingShingle | mohsen gharakhani jafar sadjadi Ehram Safari Robust Portfolio Optimization using CAPM Approach مدیریت تولید و عملیات Robust optimization Portfolio selection CAPM Investment |
| title | Robust Portfolio Optimization using CAPM Approach |
| title_full | Robust Portfolio Optimization using CAPM Approach |
| title_fullStr | Robust Portfolio Optimization using CAPM Approach |
| title_full_unstemmed | Robust Portfolio Optimization using CAPM Approach |
| title_short | Robust Portfolio Optimization using CAPM Approach |
| title_sort | robust portfolio optimization using capm approach |
| topic | Robust optimization Portfolio selection CAPM Investment |
| url | http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-185-1&slc_lang=en&sid=1 |
| work_keys_str_mv | AT mohsengharakhani robustportfoliooptimizationusingcapmapproach AT jafarsadjadi robustportfoliooptimizationusingcapmapproach AT ehramsafari robustportfoliooptimizationusingcapmapproach |