Reviews the Performance of Robust Portfolio Optimization using Maximum Sharpe Ratio compared to Classical Optimization Model
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2016, Vol 10, Issue 5
Abstract
In fact optimization portfolio and diversity are the bases to develop and improve the financial markets and also the financial decisions. In the present research the function of the classic optimization portfolio (Markowitz Mean-Variance Model) has been studied as the targeted function in the presence of the Sharp Ratio. This study has presented a stable developing model of portfolio in which the results of the optimization portfolio have been shown by the relevant corresponding stable formulizing procedure based on the Factor Model by using the stock market indexes as the input data and the test of the stability of the input parameters .To do this the input data were chosen in a given confidence interval based on the worst predetermined scenario in order to maximize the Sharp Ratio. In the present survey there has been an attempt to have a survey on 164 monthly portfolio of all the accepted firms in Tehran Stock Exchange Market during a span of 14 years and the risk and return potentiality of each portfolio has been calculated based on both models of the Classic and Optimization Sharp Models. In the next level, a detailed survey has been conducted to investigate the probability of the existence of a significant difference between the risk and the real return potentiality of these two models by using the mean-difference test. The results indicates that the real return and real risk in the Sharp Model Respectively has no significant differences and has significant differences in the classic model.
Authors and Affiliations
Marzie Ansari| MSc. in Management , Faculty of Humanities Sciences, Islamic Azad University of Tehran, Electric unique Iran. email: ansarimarzieh495@gmail.com, Marzie Bayat| Prof. Scientific Board Limb of Accounting Administration, Faculty of Management, Islamic Azad University of Hamadan, Iran., Najmeh Malek Mohammadi| MSc. in Mathematical , Faculty of Basis Sciences, Islamic Azad University of Tehran, South Tehran Unique Iran.
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