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| Journal:
FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
winter 2019
, Volume 9
, Number 37 ; Page(s) 1 To 22. |
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Paper: Multiperiod portfolio selection with higher-order moment |
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| Author(s): TEHRANI REZA, FALLAHPOUR SAEED, ROSTAMI MOHAMMAD REZA, biglari kami mehdi* |
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| * Tehran university, finance department |
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| Abstract:
risk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection method in order to maximize investors utility. In this model we used not only variance but also higher order moment – skewness-for optimization. For emprical test of the model we used return of first 50 companies stored by market capitalization in tehran stock exchange during 1386-1395. We used skewness & transaction cost to introduce a moltipriod model in asset allocation to minimize variance of investors utility. Comparing the result of this model with markowitz model & simpel model considering investor preferences shows that based on performance evaluation criteria, the suggested model perform much better than the two other.
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| Keyword(s): portfolio selection,Optimization,Skewness,Sharp ratio |
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| References:
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