A new methodology for deriving the efficient frontier of stocks portfolios:An advanced risk-return model
Publish Year: 1392
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_JADM-2-2_004
تاریخ نمایه سازی: 9 اسفند 1393
Abstract:
In this paper, after reviewing the concept of Efficient Frontier (EF), an important inadequacy of the Variance based models for deriving EFs and the high necessity for applying another risk measure is exemplified. Tomeet the challenge , the traditional risk measure of Variance is replaced with Lower Partial Moment (LPM)of the first order. Because of the particular shape of the new risk measure, one part of the paper is devoted to a methodology for deriving EF on the basis of the new model. Then the model superiority over the old one is shown and finally shape of the new EFs under different situations is investigated. At last, it is concluded that application of LPM of the first order in financial models in the phase of deriving EF is completely wise and justifiable
Keywords:
Efficient frontier , Portfolio optimization , Markowitz model , lower partial moment model , genetic algorithm
Authors
s mehrjoo
Department of Industrial Management, Islamic Azad University, Qazvin Branch, Qazvin, Iran.
m jasemi
Department of Industrial Engineering, K.N.Toosi University of Technology, Tehran, Iran.
a mahmoudi
Department of Industrial Engineering and Quality Assurance, Dehkhoda Sugarcane Agro Industry co, Ahvaz, Iran.