The Efficiency of Optimal Portfolio Selection Using Skewness Model
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2017, Vol 11, Issue 1
Abstract
One reason using of quantitative methods in investment management, this is development of financial economics. Financial economic development has expanded with portfolio optimization concept’s. In fact, this is concept of portfolio optimization and diversification, the development of financial markets and financial decision-making. In this way, beetwen of mathematical models and operational research in recent decades had been able to optimize affect portfolios. In this study, the classic portfolio optimization (Markowitz mean-variance model) in possible of using the skewed-based model as the objective function is investigated. In the present study is an attempt to model-based portfolio optimization using skewness (fuzzy) you can estimate and compare the risk and return portfolio risk and return anticipated this risk and return models predicted the results can be achieved in the classical model. In this study, we revision 195 monthly portfolio during 16 years and 3 months for listed companies in Tehran Stock Exchange and the risk and return of each portfolio based on two models of optimizational model was estimated skewness and classical optimization and in next step, using of the average difference could revision significant difference between risk and return were anticipated in the proposed methods. This study showed skewness model projected returns with returns predicted by the classical model, there are significant differences. And the predicted risk by the skewness model with risk predicted by the classical model, there are significant differences.
Authors and Affiliations
Samira Solgi| MSc. in Accounting, Faculty of Humanities, Hamadan Branch, Islamic Azad University, Hamadan, Iran. email: samira_solgi@yahoo.com, Marzie Bayat| Prof. Scientific Board Limb of Management Administration, Faculty of Management, Hamadan Branch, Islamic Azad University , Hamadan, Iran., Yavar Mir Abbasi| Management Dept, Faculty of Management, Hamadan Branch , Islamic Azad University , Hamadan, Iran.
Keywords
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