Asset management using an extended Markowitz theorem
Markowitz theorem is one of the most popular techniques for asset management. The method has been widely used to solve many applications, successfully. In this paper, we present a multi objective Markowitz model to determine asset allocation by considering cardinality constraints. The resulted model...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2014-06-01
|
| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol4/msl_2014_114.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850253274058326016 |
|---|---|
| author | Paria Karimi |
| author_facet | Paria Karimi |
| author_sort | Paria Karimi |
| collection | DOAJ |
| description | Markowitz theorem is one of the most popular techniques for asset management. The method has been widely used to solve many applications, successfully. In this paper, we present a multi objective Markowitz model to determine asset allocation by considering cardinality constraints. The resulted model is an NP-Hard problem and the proposed study uses two metaheuristics, namely genetic algorithm (GA) and particle swarm optimization (PSO) to find efficient solutions. The proposed study has been applied on some data collected from Tehran Stock Exchange over the period 2009-2011. The study considers four objectives including cash return, 12-month return, 36-month return and Lower Partial Moment (LPM). The results indicate that there was no statistical difference between the implementation of PSO and GA methods. |
| format | Article |
| id | doaj-art-5a324a4d94b34986bf6780181bf0e4e3 |
| institution | OA Journals |
| issn | 1923-2934 1923-9343 |
| language | English |
| publishDate | 2014-06-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj-art-5a324a4d94b34986bf6780181bf0e4e32025-08-20T01:57:25ZengGrowing ScienceManagement Science Letters1923-29341923-93432014-06-01461309131410.5267/j.msl.2014.4.011Asset management using an extended Markowitz theoremParia KarimiMarkowitz theorem is one of the most popular techniques for asset management. The method has been widely used to solve many applications, successfully. In this paper, we present a multi objective Markowitz model to determine asset allocation by considering cardinality constraints. The resulted model is an NP-Hard problem and the proposed study uses two metaheuristics, namely genetic algorithm (GA) and particle swarm optimization (PSO) to find efficient solutions. The proposed study has been applied on some data collected from Tehran Stock Exchange over the period 2009-2011. The study considers four objectives including cash return, 12-month return, 36-month return and Lower Partial Moment (LPM). The results indicate that there was no statistical difference between the implementation of PSO and GA methods.http://www.growingscience.com/msl/Vol4/msl_2014_114.pdfMarkowitz TheoremTehran Stock ExchangeGenetic algorithmParticle Swarm optimization |
| spellingShingle | Paria Karimi Asset management using an extended Markowitz theorem Management Science Letters Markowitz Theorem Tehran Stock Exchange Genetic algorithm Particle Swarm optimization |
| title | Asset management using an extended Markowitz theorem |
| title_full | Asset management using an extended Markowitz theorem |
| title_fullStr | Asset management using an extended Markowitz theorem |
| title_full_unstemmed | Asset management using an extended Markowitz theorem |
| title_short | Asset management using an extended Markowitz theorem |
| title_sort | asset management using an extended markowitz theorem |
| topic | Markowitz Theorem Tehran Stock Exchange Genetic algorithm Particle Swarm optimization |
| url | http://www.growingscience.com/msl/Vol4/msl_2014_114.pdf |
| work_keys_str_mv | AT pariakarimi assetmanagementusinganextendedmarkowitztheorem |