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Paper
Title

Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Year: 1400
COI: JR_JMMF-1-1_007
Language: EnglishView: 64
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Authors

Soudeh Sheybanifar - Economics. University of Tehran, Tehran. Iran

Abstract:

Since noise present in financial series, often as a result of existence of fraudulent transactions, arbitrage and other factors, causes noise in financial data therefore false estimation of the parameters and hence distorts portfolio allocation strategy, in this paper wavelet transform is used for noise reduction in mean-variance portfolio theory. I apply conditional estimation of the mean and variance of returns along with the simple one obtaining “optimal weights” which later combines with smooth and non-smooth series, result in four optimal portfolio weights and therefore four portfolio returns. After this, I impose the non-negativity constraint (for weights) deduced from the Kuhn-Tucker approach to simulate the no short selling circumstance in Tehran Stock Exchange. Weights and portfolio returns changed dramatically in this step but the main result (which asset to hold) did not. Comparing Sharp ratios, I observed that Regardless of the psychological characteristics of the investor, holding the risk-free asset is almost the optimal choice in this case.

Keywords:

Wavelet Transform, weight matrix, smooth, covariance matrix

Paper COI Code

This Paper COI Code is JR_JMMF-1-1_007. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/1170170/

How to Cite to This Paper:

If you want to refer to this Paper in your research work, you can simply use the following phrase in the resources section:
Sheybanifar, Soudeh,1400,Impacts of No Short Selling and Noise Reduction on Portfolio Allocation,https://civilica.com/doc/1170170

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Type of center: دانشگاه دولتی
Paper count: 63,668
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