Portfolio Management with Robust Optimization Approaches

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Hosseini, Maryam | 2014

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 46599 (01)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Kiyanfar, Farhad
Abstract:
Todays, one of the most important problems is optimal allocation of capital to different investment options that many researchers studied about this problem and presented a lot of solutions. In this thesis, we solve portfolio optimization problem to maximize the return of investment. The options of investment are different kinds of stocks, gold coins and we consider bank deposits as a risk free asset. We apply the problem in multi period and we can buy and sell stocks and gold coins in each period. To improve the efficiency of the proposed models, we use real data and consider transaction fees. The return of some options is uncertain, so we use robust optimization approach. At first we apply exact model for the problem, then we apply Soyster’s robust approach, Bental and Nemirovski’s robust approach and at last the robust approach presented by Bertsimas and Sim. For illustrating the proposed models, 4 problems with 10 investing periods have been solved. Finally we calculate and analyze the results of problems
Keywords:
Portfolio Management ; Robust Optimization ; Uncertain Parameters

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