Applying Information Gap theory mathematical model in optimizing portfolio
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 5, Issue 9
Abstract
Portfolio optimization is a discussion on forming a satisfactory portfolio which sometimes has faced with difficulties as there is an uncertainty in returning investment. Portfolio managers have usually intended to maximize portfolio efficiency for certain level of risk. As the current efficiency of assets is uncertain, then expected efficiency of portfolio which forms of assets can be depended upon considerable uncertainty. Information Gap Decision Theory has considered issue of building a robust portfolio against environmental uncertainty and provided a modern and creative approach for managing assets' portfolio in term of sever uncertainty through applying a nonlinear mathematical model and somehow with intention of optimizing and gaining maximum profit (efficiency). In this research, mathematical model of the Information Gap Decision Theory has been applied in portfolio management for the first time in Iran. The model discusses a little in portfolio optimization by maximizing weights of assets and then the hypothesis has been proposed that efficiency of revised portfolio based on information gap theory is more than existed portfolio in the company which has been under study (Atieh Damavand Investment Company which selects items weights on the base of experience). According to analysis of results, it has been cleared that weights which were obtained by the model made portfolio efficiency of Atieh Damavand Investment Company nearly double than weights which were obtained in the company's portfolio based on experience; it can confirm the proposed hypothesis.
Authors and Affiliations
Moona Ghahraman| Department of Business Management, Science and Research Branch, Islamic Azad University, Tehran, Iran, email: gh_moona_1360@yahoo.com, Maryam Khalili Araghi| Department of Business Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
Keywords
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