Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Robust portfolio planning in the presence of market anomalies
Date
2007-02-01
Author
Oguzsoy, Cemal Berk
Güven, Sibel
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
221
views
0
downloads
Cite This
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.
Subject Keywords
Management Science and Operations Research
,
Strategy and Management
,
Information Systems and Management
URI
https://hdl.handle.net/11511/52238
Journal
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE
DOI
https://doi.org/10.1016/j.omega.2005.01.020
Collections
Graduate School of Natural and Applied Sciences, Article
Suggestions
OpenMETU
Core
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...
THE SCHEDULING OF ACTIVITIES TO MAXIMIZE THE NET PRESENT VALUE OF PROJECTS - COMMENT
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
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
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: https://hdl.handle.net/11511/52238.