Portfolio selection models based on characteristics of return distributions
AbstractThis article concerns the problem of optimal portfolio selection. The objective of this paper is to indicate the best method and criteria for optimal portfolio selection. In order to achieve the objective six models including such optimization criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi-objective programming is used to transform multiple conflicting criteria into a single objective problem and to find optimal portfolios. In order to indicate the best portfolio selection model a simulation based on five years data from January 1, 2007 to December 31, 2011 was conducted. The portfolios were constructed from WIG20 stocks and WIBID 3M as risk-free asset.
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Bibliographic InfoPaper provided by Faculty of Economic Sciences, University of Warsaw in its series Working Papers with number 2013-14.
Length: 28 pages
Date of creation: 2013
Date of revision:
optimal portfolio; portfolio selection; fuzzy multi-objective programming; skewness; kurtosis;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
- NEP-CMP-2013-06-16 (Computational Economics)
- NEP-RMG-2013-06-16 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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