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PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

  • Alan Mustafa

    (IEEE)

Programming Language

GAUSS

Abstract

Investors have been aware of the potential benefits of portfolio diversification for a long time. Markowitz (1952) introduced the seminal method for optimizing the portfolio problem by finding the budget shares (i.e. the weights) that are based on minimizing the variance of the underlying portfolio. Hatemi-J and El-Khatib (2015) suggested an alternative approach for finding the weights that results in maximizing the risk adjusted return of the portfolio. This approach can be preferable by the rational investors as it combines risk and return once the optimal budget shares are needed. Hatemi-J, Hajji and El-Khatib (2019) provide a general solution for this risk adjusted return problem that can be utilized for any potential number of assets in the portfolio. This Gauss module constructs portfolios using these two alternative approaches.

Suggested Citation

  • Abdulnasser Hatemi-J & Alan Mustafa, 2020. "PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return," Statistical Software Components G00017, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00017
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/pdbvrar0.gss
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pd_data8.txt
    File Function: sample data
    Download Restriction: no
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    Cited by:

    1. Hatemi-J, Abdulnasser & Taha, Viyan, 2021. "Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 537-546.

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