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Banihashemi, Shokoofeh, Karimi, Parto. (1403). Stochastic portfolio optimization by diversity-weighted portfolio approach. سامانه مدیریت نشریات علمی, (), 57-64. doi: 10.22054/jmmf.2024.79396.1131
Shokoofeh Banihashemi; Parto Karimi. "Stochastic portfolio optimization by diversity-weighted portfolio approach". سامانه مدیریت نشریات علمی, , , 1403, 57-64. doi: 10.22054/jmmf.2024.79396.1131
Banihashemi, Shokoofeh, Karimi, Parto. (1403). 'Stochastic portfolio optimization by diversity-weighted portfolio approach', سامانه مدیریت نشریات علمی, (), pp. 57-64. doi: 10.22054/jmmf.2024.79396.1131
Banihashemi, Shokoofeh, Karimi, Parto. Stochastic portfolio optimization by diversity-weighted portfolio approach. سامانه مدیریت نشریات علمی, 1403; (): 57-64. doi: 10.22054/jmmf.2024.79396.1131

Stochastic portfolio optimization by diversity-weighted portfolio approach

Journal of Mathematics and Modeling in Finance
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 26 آبان 1403    اصل مقاله (326.85 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2024.79396.1131
نویسندگان
Shokoofeh Banihashemi* 1؛ Parto Karimi2
1Department of mathematics,Faculty of Mathematics and Computer Science, Allameh Tabataba‘i University, Tehran, Iran.
2Department of Mathematics, Allameh Tabatabai University, Tehran, Iran
چکیده
‎‎The portfolio optimization problem, including portfolio selection, typically aims to maximize return and minimize risk. In this paper, we discuss about increasing use of stochastic portfolios in investments and aim to create optimal portfolios. It follows the relative wealth process of these portfolios, outperforms the market portfolio over sufficiently long time-horizons. In this regard, initially, a model of the market is presented by the stochastic portfolio theory (SPT) and features like Growth rate, Excess growth rate are mentioned. Then, functionally-generated portfolios are defined by using diversity weighted portfolios with parameters p ∈ (0, 1), p < 0 and combination of them. Finally, by obtaining the daily closing price of 10 stocks in Tehran Stock Exchange (TSE) ,the performance of diversity weighted portfolios is investigated.
کلیدواژه‌ها
Diversity-weighted portfolios‎ Portfolio generating functions‎ Portfolio‎ Stochactic portfolio theory‎؛ ‎ Sharp ratio
مراجع
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[13] A. Vervuurt, I. Karatzas, Diversity-weighted portfolios with negative parameter, SpringerVerlag Berlin Heidelberg, 2015. 

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تعداد مشاهده مقاله: 34
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