Multicriteria portfolio optimization

Download

index.pdf

Date

2013

Author

Tuncer Şakar, Ceren

Metadata

Show full item record

Item Usage Stats

133
views

46
downloads

Portfolio optimization is the problem of allocating funds between available investment options in the financial market. This thesis develops several approaches to multicriteria portfolio optimization. The use of multiple criteria is justified by demonstrating their effects on decision and objective spaces of the problem. The performance of a genetic algorithm with two and three criteria is studied; and a preference-based genetic algorithm to solve portfolio optimization with complicating constraints is developed. Furthermore, stochastic programming is used to handle multi-period problems, and several issues are studied with this approach. Efficient market hypotheses, random walk and single index models are discussed in the context of scenario generation for the Turkish Stock Market. An interactive approach to stochastic programming-based portfolio optimization is also developed to guide the decision maker toward preferred solutions. The approaches are experimented with and demonstrated using stocks from the Turkish Stock Market.

Subject Keywords

Investments., Money market., Capital market., Stock exchanges., Genetic algorithms., Stochastic programming.

URI

http://etd.lib.metu.edu.tr/upload/12616549/index.pdf
https://hdl.handle.net/11511/22873

Collections

Graduate School of Natural and Applied Sciences, Thesis

Suggestions

OpenMETU
Core

An Analysis of momentum and mean reversion effects on equity indices Özbilge, Armağan; Yolcu Okur, Yeliz; Nazlıben, Kamil Korhan; Department of Financial Mathematics (2015) Momentum and mean-reversion effects have become very popular in finance literature for the last two decades since their presence can generate abnormal profit patterns by applying either relative strength or contrarian trading strategy accordingly. Even though there are some common factor explanations for return reversals, they might not provide the full picture for return persistence. In our theoretical framework, we analyse some of the well-known discrete time momentum studies including the initial one and...
Modeling co-movements among financial markets: applications of multivariate autoregressive conditional heteroscedasticity with smooth transitions in conditional correlations Öztek, Mehmet Fatih; Öcal, Nadir; Department of Economics (2013) The main purpose of this thesis is to assess the potential of emerging stock markets and commodity markets in attracting the attention of international investors who utilize various portfolio diversification strategies to reduce the cumulative risk of their portfolio. A successful portfolio diversification strategy requires low correlation among financial markets. However, it is now well documented that the correlations among financial markets in developed countries are very high and hence the benefits of i...
An Investigation on the nature of the idiosyncratic risk of stock portfolios Kocaarslan, Barış; Soytaş, Uğur; Department of Business Administration (2018) In this study, based on sound economic theories, two economic transmission channels are identified to investigate the impacts of changes in funding liquidity conditions in interbank loan markets and the reserve currency (US dollar) value on the idiosyncratic portfolio-level risks. Controlling for business cycles, we find that a deterioration in funding liquidity conditions increases the idiosyncratic risk of high-risk portfolios more than that of less risky portfolios. This increase is stronger when the idi...
Financial innovations in developing countries : the case of Turkey Hergüner, Armağan Önder; Ağır, Münis Seven; Department of Economics (2015) Financial innovation is an important phenomenon in the development scheme of financial markets, gaining more ground after the 1980s. The primary aim of this thesis is to investigate two cases of financial innovation in Turkey: Credit card installments and gold accounts. Financial innovation literature lacks an examination of financial innovations in developing countries and does not present any alternative explanations behind their emergence. Differences between institutional structures and the effect of fi...
A Comparison of constant and stochastic volatility in Merton’s portfolio optimization problem Öztürk, Ozan; Sezer, Ali Devin; Department of Financial Mathematics (2018) Merton's Portfolio Problem is a dynamic portfolio choice problem, which assumes asset returns and covariances are constant. There is well documented evidence that, stock returns and volatilities are correlated. Therefore, stochastic volatility models in dynamic portfolio problems can give better results. The work [J. Liu, Portfolio selection in stochastic environments, Review of Financial Studies, 20(1), 2007] developed a general dynamic portfolio model that allows the parameters of the model to depend on a...

Citation Formats

C. Tuncer Şakar, “Multicriteria portfolio optimization,” Ph.D. - Doctoral Program, Middle East Technical University, 2013.