نوع مقاله : کاربردی
نویسنده
استادیار گروه مهندسی صنایع دانشکده فنی و مهندسی دانشگاه خاتم، تهران، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسنده [English]
In this paper the robust optimization is used for portfolio opimization problem. using estimates in the portfolio optimization process, will cause estimation risk. Therefore, methods should be used that have ability to decrease estimation risk and robust optimization can be one of the proper methods in addressing uncertainty. In this research the contamination technique is used for assessing robustness of portfolio. Due to sharp icrease in Iran stock exchange indexes in 2013, this technique is used and these sharp changes are intered in model as contamination scenarios. It is assumed that the probability distribution of return has fluctuated then the effects of this fluctuation on optimal portfolio are discussed. Conditional Value at Risk is used for measuring the risk of portfolio. Portfolio robustness and sensitivity analysis showed that the probability of contamination scenario affects the function of minimum risk so it needs to be controlled. Finally after efficiency test of given portfolio showed that it is not efficient therefore the new one with less risk is determined.
JEL: C61, G11
How to cite this paper: Hassanlou, K. (2016). Robust Portfolio Optimization using Contamination Technique. Quarterly Journal of Risk Modeling and Financial Engineering, 1(1), 76–96. (In Persian)
کلیدواژهها [English]