Robust portfolio planning in the presence of market anomalies

Oguzsoy, Cemal Berk
Güven, Sibel
In this study, a short-term portfolio modeling formulation is developed using existing anomalies as a single determinant for daily Istanbul Stock Exchange National 100 Composite Index (ISE) and US dollars (USD) returns in a Robust optimization (RO) framework. Using anomalies in planning within an RO framework establishes a balance between risk seeking and risk averse behaviors, as generating profit from anomalies is risky and RO enables to settle down the extreme risk seeking behavior. Applications of the model using various data sets result in real profit generation such that terminal wealth figures increase considerably more than Wholesale Price Index (WPI). This study demonstrates that RO is a viable approach to make use of anomaly information for short-term profits. (c) 2005 Published by Elsevier Ltd.


Quantiative Methodology for Determination of Cost Contingency in International Projects
Sönmez, Rifat; Birgönül, Mustafa Talat (American Society of Civil Engineers (ASCE), 2007-01-01)
This paper presents a quantitative methodology to determine financial impacts of the risk factors during the bidding stages of international construction projects. Project and country data of 26 construction projects from 21 countries were collected for evaluation of the international risk factors. The factors impacting cost contingency were identified using correlation and regression analysis techniques. The results indicated that four factors had major contributions for explaining the variations in the co...
SEPIL, C (Elsevier BV, 1994-02-24)
In a recent paper, Elmaghraby and Herroelen have presented an algorithm to maximize the present value of a project. Here, with the help of an example, it is shown that the algorithm may not find the optimal solution.
Performance of the heuristic procedures for constrained projects with progress payments
Sepil, C; Ortac, N (Informa UK Limited, 1997-11-01)
All large scale resource constrained projects involve cash flows occurring during their life cycle. Several recent studies consider the problem of scheduling projects to maximise the net present value (NPV) of these cash flows. Their basic common assumption is that cash flows are mainly associated with specific events and they occur at event realisation times. An alternative assumption, which can be more realistic, is that cash inflows occur periodically, for example every month; as progress payments. This ...
Bank asset and liability management under uncertainty
Oguzsoy, CB; Güven, Sibel (Elsevier BV, 1997-11-01)
This study presents a multiperiod stochastic linear simple recourse model for asset and liability management in banking. The model determines the portfolio of assets and liabilities over the planning horizon given a set of deterministic rates of returns of investments and costs of borrowings, and a set of random outstanding deposit levels, liquidity and total reserve requirements with a given discrete probability distribution. The intention is to develop an optimization tool to assure sustained profitabilit...
A multicriteria sorting approach based on data envelopment analysis for R&D project selection problem
Karasakal, Esra (Elsevier BV, 2017-12-01)
In this paper, multiple criteria sorting methods based on data envelopment analysis (DEA) are developed to evaluate research and development (R&D) projects. The weight intervals of the criteria are obtained from Interval Analytic Hierarchy Process and employed as the assurance region constraints of models. Based on data envelopment analysis, two threshold estimation models, and five assignment models are developed for sorting. In addition to sorting, these models also provide ranking of the projects. The de...
Citation Formats
C. B. Oguzsoy and S. Güven, “Robust portfolio planning in the presence of market anomalies,” OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, pp. 1–6, 2007, Accessed: 00, 2020. [Online]. Available: