A Heuristic Approach for Value at Risk Based Portfolio Optimization
Publish place: 14th annual International CSI Computer Conference
Publish Year: 1388
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSICC14_064
تاریخ نمایه سازی: 24 خرداد 1388
Abstract:
Portfolio optimization under classic mean-variance framework of Markowitz must be revised as variance fails to be a good risk measure. This is especially true when the asset returns are not normal. In this paper, we utilize Value at Risk (VaR) as the risk measure and Historical Simulation (HS) is used to obtain an acceptable estimate of the VaR. Also, a well known multi-objective evolutionary approach is used to address the inherent bi-objective problem; In fact,NSGA-II is incorporated here. This method is tested on a set of past return data of 12 assets on Tehran Stock Exchange (TSE). A comparison of the obtained results, shows that the proposed method offers high quality solutions and a wide range of risk return trade-offs
Authors
Mohammad Zeiaee
Iran University of Science and Technology
Mohammad Reza Jahed-Motlagh
Iran University of Science and Technology