A multiple objective stochastic portfolio selection problem with random Beta

When selecting a portfolio, we need to consider, in general, the portfolio return and portfolio risk. Many risk measures have been used in portfolio selection problems as the Beta risk measure, introduced by the capital asset pricing model. Most of the existing research papers suppose that security&...

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Vydáno v:International transactions in operational research Ročník 21; číslo 6; s. 919 - 933
Hlavní autoři: Abdelaziz, Fouad Ben, Masmoudi, Meryem
Médium: Journal Article
Jazyk:angličtina
Vydáno: Oxford Blackwell Publishing Ltd 01.11.2014
Témata:
Beta
Capital assets
Goal programming
multiple objective stochastic programming
Operations research
Portfolio management
portfolio selection
Random variables
risk measures
stochastic goal programming
Studies
ISSN:0969-6016, 1475-3995
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Popis
Shrnutí:When selecting a portfolio, we need to consider, in general, the portfolio return and portfolio risk. Many risk measures have been used in portfolio selection problems as the Beta risk measure, introduced by the capital asset pricing model. Most of the existing research papers suppose that security's Beta has a deterministic value. Recently, many researchers argued that in selecting the optimal portfolio, securities’ Beta should be considered as an uncertain parameter. In this paper, we set up fundamentals to model the portfolio's Beta as a random variable and propose a multiple objective stochastic portfolio selection model with random Beta. To solve the proposed model, we apply a stochastic goal programming approach. A numerical example from the US stock exchange market is reported.
Bibliografie:istex:D083AEAB239D93DADF6FB4B4E2782BBA692E0E2A
ArticleID:ITOR12037
ark:/67375/WNG-K346830W-R
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0969-6016
1475-3995
DOI:10.1111/itor.12037