Study of portfolio optimization based on downside risk, upside potential and behavioral variables efficiency
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
While available models to measure the risk dont consider the positive side of stock return probability distribution, this research tries to optimize the portfolio based on adjusted lower partial momentum (ALPM) with upside potential and behavioral variables to compare the result with modern portfolio theory model which is one of the basic models in this area.
This research studies 144 monthly portfolios of industry indices in Tehran Stock Exchange within 12 years and compute realized rate of return for those portfolios in next month. In the next stage the research make use of variance analysis between realized rates of return for portfolios made by two models. The present research determined that realized rate of return for portfolios made by ALPM are higher than modern portfolio theory model when investors are downside risk averse and upside potential lover. However in condition that investors are downside risk averse and upside potential averse there is not any difference between two model as well as when investors are downside risk averse and upside potential neutral.
This research studies 144 monthly portfolios of industry indices in Tehran Stock Exchange within 12 years and compute realized rate of return for those portfolios in next month. In the next stage the research make use of variance analysis between realized rates of return for portfolios made by two models. The present research determined that realized rate of return for portfolios made by ALPM are higher than modern portfolio theory model when investors are downside risk averse and upside potential lover. However in condition that investors are downside risk averse and upside potential averse there is not any difference between two model as well as when investors are downside risk averse and upside potential neutral.
Keywords:
Language:
Persian
Published:
Financial Engineering and Protfolio Management, Volume:9 Issue: 34, 2018
Pages:
305 to 333
magiran.com/p1855632
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.
دسترسی سراسری کاربران دانشگاه پیام نور!
اعضای هیئت علمی و دانشجویان دانشگاه پیام نور در سراسر کشور، در صورت ثبت نام با ایمیل دانشگاهی، تا پایان فروردین ماه 1403 به مقالات سایت دسترسی خواهند داشت!
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!