Stochastic portfolio optimization by diversity-weighted portfolio approach
Publish Year: 1403
Type: Journal paper
Language: English
View: 67
This Paper With 8 Page And PDF Format Ready To Download
- Certificate
- I'm the author of the paper
Export:
Document National Code:
JR_JMMF-4-2_004
Index date: 26 January 2025
Stochastic portfolio optimization by diversity-weighted portfolio approach abstract
The portfolio optimization problem, including portfolio selection, typically aims to maximize return and minimize risk. In this paper, we discuss about increasing use of stochastic portfolios in investments and aim to create optimal portfolios. It follows the relative wealth process of these portfolios, outperforms the market portfolio over sufficiently long time-horizons. In this regard, initially, a model of the market is presented by the stochastic portfolio theory (SPT) and features like Growth rate, Excess growth rate are mentioned. Then, functionally-generated portfolios are defined by using diversity weighted portfolios with parameters p ∈ (0, 1), p < 0 and combination of them. Finally, by obtaining the daily closing price of 10 stocks in Tehran Stock Exchange (TSE) ,the performance of diversity weighted portfolios is investigated.
Stochastic portfolio optimization by diversity-weighted portfolio approach Keywords:
Diversity-weighted portfolios Portfolio generating functions Portfolio Stochactic portfolio theory , Sharp ratio
Stochastic portfolio optimization by diversity-weighted portfolio approach authors
Shokoofeh Banihashemi
Department of mathematics,Faculty of Mathematics and Computer Science, Allameh Tabataba&amp;lsquo;i University, Tehran, Iran.
Parto Karimi
Department of Mathematics, Allameh Tabatabai University, 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 :
