Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return
Publish place: Iranian Journal of Finance، Vol: 6، Issue: 2
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
View: 202
This Paper With 25 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IJFIFSA-6-2_004
تاریخ نمایه سازی: 24 فروردین 1401
Abstract:
Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension funds- as Defined Benefit, Defined Contribution, or others- accept reserves from contributors and try to invest them in a way to keep up with their obligations in the future or even pay more than that. The equity market has been one of the good choices for investment as pension funds try to reach a particular rate of return to maximize their wealth while considering not crossing red lines in taking risks. This paper will detail the new mathematical model for finding optimal stock portfolios using Generalized Co-Lower Partial Moment as a risk measure to minimize portfolio optimization. On the other hand, it introduces new tailored Expected Utility as a performance metric to maximize in this model. The proposed model's issue against previous studies is considering risk aversion and target rate of investment return as two significant investor characteristics. This is based on price returns' simulation of candidate stocks in TSE while using accurate and nonparametric Probability Density Function in historical data analysis.
Keywords:
Risk Aversion , Generalized Co-Lower Partial Moment , Target Rate of Return , portfolio optimization , Reference Dependent Utility Function
Authors
Ahmad Farahani Darestani
Ph.D. Candidate, Department of Management and Economics, Islamic Azad University, Science and Research Branch, Tehran, Iran.
Mohammadreza Miri Lavasani
Associate Professor, Department of HSE, Islamic Azad University, Science and Research Branch, Tehran, Iran.
Hamidreza Kordlouie
Associate Professor, Department of Management and Accounting, Islamic Azad University, Eslamshahr Branch, Iran.
Ghodratallah Talebnia
Associate Professor, Department of Accounting, Islamic Azad University, Science and Research Branch, Tehran, Iran.
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :