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Portfolio Optimization of Banking Corporations versus others, Using a Shortfall Risk Method Accompanied by Robust Optimization

Nazari, Mohammad Reza | 2013

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 44380 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Kianfar, Farhad
  7. Abstract:
  8. Portfolio optimization is an most important field of study, affecting companies’ non-operating income, so companies try to achieve this beneficiary by incorporating it in market transactions. In this thesis, we propose some methods extending the Markowitz theory. We used the lagrangian method and other appropriate operations research techniques such as convex optimization in order to handle optimization process. Using these methods, we established portfolio optimization model for different corporation, i.e., banking industries and others, with different interest rate exposure for short and long conditions of risk free assets. We describe three risk criteria as possible alternatives to standard variance. For this purpose, we defined the Roy, Kataoka and Tesler risk factors and implement them in original models. We prescribe models with two conditions of portfolio such as with risk-free asset and without it. Comparing these three approaches, in both cases of portfolio mixture type, depending on whether to use risk free assets or not in the model, we see that Tesler models are more efficient. Then, we add the attribute of uncertainty in parameters of the classic model in order to adjust the models for worst case scenarios. As declared, the worst case methods are too conservative, never probable to occur as a case. In order to overcome these restrictions, we propose some enhancements in the worst case model to control the uncertainty level in both the classic and the tesler models. We make some corrections in the calculation of the covariance matrix, and a control on summation of means. By this way, we consider some controlable robust model. For realizations of models, we work out an example of 10 securities giving merit illustrations of models
  9. Keywords:
  10. Convex Optimization ; Portfolio Optimization ; Shortfall Risk ; Value at Risk ; Robust Optimization

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