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Robustness in Portfolio Optimization Based on Minimax Regret Approach

Credit to Download: 1 | Page Numbers 11 | Abstract Views: 141
Year: 2017
COI code: IIEC14_054
Paper Language: English

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Authors Robustness in Portfolio Optimization Based on Minimax Regret Approach

  Seyed Erfan Mohammadi - Ph.D Student, Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
  Emran Mohammadi - Associate Prof.,Faculty of Industrial Engineering,Iran University of Science & Technology,Tehran,Iran

Abstract:

Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. With regard to the modern portfolio theory as introduced by Markowitz, returns are usually extracted from past data. Therefor our purpose in this paper is to incorporate future returns scenarios in the investment decision process. In order to representative points on the efficient frontier, the minimax regret portfolio is calculated, on the basis of the aforementioned scenarios. In this way, the areas of the efficient frontier that are more robust than others are identified. The main contribution in this paper is related to the extension of the conventional minimax regret criterion formulation, in multiobjective programming problems. The validity of the proposed approach is verified through an empirical testing application on the top 75 companies of Tehran Stock Exchange Market in 2017.

Keywords:

Multiple Objective Programming; Portfolio Optimization; Minimax Regret; Robustness

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COI code: IIEC14_054

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Mohammadi, Seyed Erfan & Emran Mohammadi, 2017, Robustness in Portfolio Optimization Based on Minimax Regret Approach, 14th International Industrial Engineering Conference, تهران, انجمن مهندسي صنايع ايران - دانشگاه علم و صنعت ايران, https://www.civilica.com/Paper-IIEC14-IIEC14_054.htmlInside the text, wherever referred to or an achievement of this article is mentioned, after mentioning the article, inside the parental, the following specifications are written.
First Time: (Mohammadi, Seyed Erfan & Emran Mohammadi, 2017)
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Type: state university
Paper No.: 20366
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