Volume 8, Issue 4 (Vol. 8,No. 4, 2022)
mmr 2022, 8(4): 180-197 |
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Mahmoodi S, Kamali R, Jahandideh M. بهینهسازی چند دورهای سبد سرمایه بر اساس اندازه ریسک احتمالی و مدل ( AR(1)-GARCH(1,1. mmr 2022; 8 (4) :180-197
URL: http://mmr.khu.ac.ir/article-1-3141-en.html
URL: http://mmr.khu.ac.ir/article-1-3141-en.html
1- Isfahan University of Tech , mahmoodi@iut.ac.ir
2- Isfahan University of Tech
2- Isfahan University of Tech
Abstract: (455 Views)
In this paper, we solve the multi-period portfolio optimization problem under new assumptions. Recently, the authors examined some distributions instead of Gaussian to fit returns to improve the optimization problem and indicated, by Kolmogorov-Smirnov test, that the Kernel density estimator is the best one. In the present paper, we consider the most appropriate distribution of each asset in each period to fit return. Moreover, in order to optimize the solutions, we use piecewise linear interpolation of the empirical distribution. Furthermore, we show that how one may plan for future investments using historical data and AR(1)-GARCH(1,1) model under new assumptions.
Keywords: Multi-period Portfolio Optimization, Probabilistic Risk Measure, Kernel Distribution Estimator, Piecewise Linear Interpolation, AR(1)-GARCH(1, 1) Model.
Type of Study: Research Paper |
Subject:
Anal
Received: 2020/10/16 | Revised: 2023/06/17 | Accepted: 2021/05/2 | Published: 2022/12/31 | ePublished: 2022/12/31
Received: 2020/10/16 | Revised: 2023/06/17 | Accepted: 2021/05/2 | Published: 2022/12/31 | ePublished: 2022/12/31
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