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Paper Information

Journal:   FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)   winter 2019 , Volume 9 , Number 37 ; Page(s) 1 To 22.
 
Paper: 

Multiperiod portfolio selection with higher-order moment

 
 
Author(s):  TEHRANI REZA, FALLAHPOUR SAEED, ROSTAMI MOHAMMAD REZA, biglari kami mehdi*
 
* Tehran university, finance department
 
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.
 
Keyword(s): portfolio selection,Optimization,Skewness,Sharp ratio
 
References: 
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