Portfolio Optimization for Retail Investors, with the Approach of Multivariate GARCH Models
Author(s):
Abstract:
In recent years, willingness to invest and trade of securities has been grown by retail investors. This group of investors, mainly trade in average or low volume levels, therefor they should consider some restrictions which have not been added to most classic financial portfolio optimization models such as Markowitz. Some of these limitations are transaction costs and the number of assets in the portfolio. In this paper, the constraints of model have been modified to maximizing the portfolio return and achieve better risk estimation and also five activated industrial indexes has been chosen since 2009 up to 2012 and optimal investment portfolio was formed with the noticed model. We hired, multivariate GARCH family models (MGARCH) as Vech, BEKK, CCC and DCC to reach conditional covariances matrix and then we calculate, the optimal portfolio weights for each group of industries.
Keywords:
Language:
Persian
Published:
International Journal of Industrial Engineering & Production Management, Volume:28 Issue: 1, 2017
Pages:
149 to 160
magiran.com/p1733377
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!