IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v4y2010i1p47-73.html
   My bibliography  Save this article

Uses of Variance and Lower Partial Moment Measures for Portfolio Optimization

Author

Listed:
  • Güven Sayilgan
  • Arma Deger Mut

Abstract

Portfolio optimization is mainly a multi-objective optimization problem that aims to maximize expected return while minimizing risk. It is important to define the meaning of these parameters accurately, in terms of validity that is acquired by the solution of the problem. In this study, portfolio optimization is implemented through two downside risk measures, semi-variance and lower partial moment, which are stated by researchers to be better representation for investors risk perception. Genetic algorithms, which are among the heuristic computational methods, are used to achieve pareto-efficient portfolios. The implementation is tested by historical data of the shares that are authorized to Istanbul Stock Exchange (ISE) 100 Index, and it is observed that the efficient portfolios achieved by the implementation are consistent with expected results.

Suggested Citation

  • Güven Sayilgan & Arma Deger Mut, 2010. "Uses of Variance and Lower Partial Moment Measures for Portfolio Optimization," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 4(1), pages 47-73.
  • Handle: RePEc:bdd:journl:v:4:y:2010:i:1:p:47-73
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/81434.makale%20sayilgan.pdf
    Download Restriction: no

    More about this item

    Keywords

    Portfolio Optimization; Lower Partial Moment; Semivariance;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:4:y:2010:i:1:p:47-73. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zafer Kovancý). General contact details of provider: http://edirc.repec.org/data/bddgvtr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.