scholarly journals On one problem of portfolio analysis under soft constraints

2020 ◽  
pp. 64-76
Author(s):  
Илья Сергеевич Солдатенко ◽  
Александр Васильевич Язенин
Keyword(s):  
Binary Relation ◽  
Portfolio Analysis ◽  
Minimal Risk ◽  
Soft Constraints ◽  
Investment Portfolio ◽  
Expected Return ◽  
Hybrid Uncertainty

Разработана и исследована модель портфеля минимального риска в условиях гибридной неопределенности возможностно-вероятностного типа, основанная на принципе ожидаемой возможности. Особенностью рассматриваемой модели является то, что «мягкость» ограничения на уровень ожидаемой доходности моделируется путем замены четкого ограничения возможностным бинарным отношением. На модельном примере показано, как мягкость ограничения влияет на множество квазиэффективных оценок инвестиционного портфеля. A model of a minimal risk portfolio under conditions of hybrid uncertainty of the possibility-probability type based on the principle of expected possibility has been developed and studied. The peculiarity of this model is that the "softness" of the restriction on the level of expected return is modeled by replacing a clear restriction with a possibilistic binary relation. The model example shows how the softness of the constraint affects a set of quasi-effective estimates of an investment portfolio.

scholarly journals Comparative study of the behavior of the effective boundary of minimal risk portfolio in the conditions of hybrid uncertainty, depending on the restrictions on the profitability of the portfolio

2021 ◽  
pp. 58-69
Author(s):  
Александр Васильевич Язенин ◽  
Илья Сергеевич Солдатенко
Keyword(s):  
Comparative Study ◽  
Numerical Experiments ◽  
Minimal Risk ◽  
Two Dimensional ◽  
Probability Level ◽  
Expected Return ◽  
Minimum Risk ◽  
Effective Boundary ◽  
Hybrid Uncertainty ◽  
Theoretical Results

В работе проведены исследования эффективной границы портфеля минимального риска в условиях гибридной неопределенности. Для случая двумерного портфеля при ограничении на ожидаемую доходность портфеля и ограничении по возможности/необходимости и вероятности на доходность портфеля в зависимости от уровня вероятности построены квазиэффективные границы портфеля. Результаты численных экспериментов согласуются с ранее полученными авторами теоретическими результатами. The paper studies the effective boundary of the minimum risk portfolio in the conditions of hybrid uncertainty. For the case of a two-dimensional portfolio, with a restriction on the expected return of the portfolio and a restriction on possibility/necessity and probability on the return of the portfolio, quasi-effective portfolio boundaries are constructed depending on the probability level. The results of numerical experiments are consistent with the theoretical results previously obtained by the authors.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽  
2013 ◽  
Author(s):  
Sri Yati
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Analytical Method ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Analysis ◽  
Rate Of Return ◽  
Expected Returns ◽  
Risk Level ◽  
Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

scholarly journals Kelly's Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange

2019 ◽  
Vol 8 (2S7) ◽  
pp. 245-250
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Investment Portfolio ◽  
Strategy Analysis ◽  
Average Value ◽  
Portfolio Returns ◽  
Strategy Model ◽  
Investment Portfolios

Investments in financial markets not only pay attention to promising profits, but also need to consider the risks that follow. Risks can be minimized by establishing an investment portfolio. This research was conducted with the aim of analyzing optimal portfolios on foreign exchange investments, so that investments made provide maximum returns at certain risks, or minimal risk on certain returns. The data analyzed in this study are foreign exchange traded at Bank Indonesia. Data analysis is carried out quantitatively using the Kelly Strategy model. The steps: (i) Calculation of individual foreign exchange returns, (ii) Determine the average value of individual foreign exchange returns, (iii) Determine the optimal portfolio using the Kelly strategy approach, and (iv) Determine portfolio returns and risks. Based on the results of the analysis obtained the allocation of weights that provide returns and risks to the optimal portfolio. A 95% USD currency is an optimal portfolio of the five currencies used. So that it can be used as a consideration for investors, in making investment decisions in the foreign exchange being analyzed.

scholarly journals PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

2021 ◽  
Vol 10 (2) ◽  
pp. 65
Author(s):  
NI KADEK NITA SILVANA SUYASA ◽  
KOMANG DHARMAWAN ◽  
KARTIKA SARI
Keyword(s):  
Optimal Portfolio ◽  
Stock Index ◽  
Mean Absolute Deviation ◽  
Portfolio Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
Absolute Deviation ◽  
Index Data ◽  
The Mean ◽  
Deviation Method

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

scholarly journals PEMBENTUKAN DAN PENGUKURAN KINERJA PORTOFOLIO EFISIEN DENGAN METODE CONSTANT CORRELATION MODEL MENGGUNAKAN GUI MATLAB (Studi Kasus: Kelompok Saham pada Indeks JII, LQ45, dan INFOBANK15)

2021 ◽  
Vol 10 (2) ◽  
pp. 180-189
Author(s):  
Muhammad Zidan Eka Atmaja ◽  
Alan Prahutama ◽  
Dwi Ispriyanti
Keyword(s):  
Financial Management ◽  
Sharpe Ratio ◽  
High Rate ◽  
Stock Index ◽  
Minimal Risk ◽  
Correlation Model ◽  
Expected Return ◽  
The Public ◽  
Stock Investment ◽  
Period 2

Investment is an important part of financial management that is widely known by the public. One example of an investment is a stock, stock is favored by investors because many of companies issue stock investment. investors goal from investment are to get funds that have been invested. Besides advantage, investors also have to face risks that can befall on him. Risk in investment can be minimized by diversification, for example by forming a portfolio. A good portfolio is an efficient portfolio, which is a portfolio that has a high rate of return with minimal risk. One of the way to to form an efficient portfolio is the Constant Correlation Model (CCM) method. The CCM method focuses on Excess return to Standard Deviation (ERS) and correlation between paired stocks. And to measure the portfolio formed can be measured by the Sharpe Ratio. GUI MATLAB program was formed to make it easier to find portfolio from the CCM method. This research uses stock data on the stock index JII, LQ45, and INFOBANK15 with interest rate of SBI period 2 October 2017-30 December 2019. Based on the results and discussion with manual calculations and GUI MATLAB, it can be concluded that percentage of weight, expected return, risk, and Sharpe index produce the same numbers. Keywords: Stock, Efficient Portfolio, Constant Correlation Model, Sharpe Ratio

scholarly journals The Use of Trapezoidal Oriented Fuzzy Numbers in Portfolio Analysis

Symmetry ◽  
2021 ◽  
Vol 13 (9) ◽  
pp. 1722
Author(s):  
Anna Łyczkowska-Hanćkowiak
Keyword(s):  
Fuzzy Number ◽  
Fuzzy Numbers ◽  
Portfolio Analysis ◽  
Discount Factor ◽  
Weighted Sum ◽  
Investment Portfolio ◽  
Present Value ◽  
Discount Factors ◽  
Theoretical Considerations

Oriented fuzzy numbers are a convenient tool to manage an investment portfolio as they enable the inclusion of uncertain and imprecise information about the financial market in a portfolio analysis. This kind of portfolio analysis is based on the discount factor. Thanks to this fact, this analysis is simpler than a portfolio analysis based on the return rate. The present value is imprecise due to the fact that it is modelled with the use of oriented fuzzy numbers. In such a case, the expected discount factor is also an oriented fuzzy number. The main objective of this paper is to conduct a portfolio analysis consisting of the instruments with the present value estimated as a trapezoidal oriented fuzzy number. We consider the portfolio elements as being positively and negatively oriented. We test their discount factor. Due to the fact that adding oriented fuzzy numbers is not associative, a weighted sum of positively oriented discount factors and a weighted sum of negatively oriented factors is calculated and consequently a portfolio discount factor is obtained as a weighted addition of both sums. Also, the imprecision risk of the obtained investment portfolio is estimated using measures of energy and entropy. All theoretical considerations are illustrated by an empirical case study.

scholarly journals A bibliometric approach for managing institutional and personal scientific investments, with examples from the biological sciences

2018 ◽  
Author(s):  
Kevin Winker
Keyword(s):  
Biological Sciences ◽  
Portfolio Analysis ◽  
Three Dimensions ◽  
Google Scholar ◽  
Analysis Tool ◽  
Investment Portfolio ◽  
Self Assessment ◽  
The Impact ◽  
Bibliometric Approach

Self assessment should include asking ourselves how we might allocate our investments to enhance the impact of our publication portfolio. I develop an easily implemented scientific investment portfolio analysis tool based on citations. Using Google Scholar data, I provide examples at individual and institutional levels for two cases in the biological sciences. Visualizing these data in three dimensions reveals striking degrees of structure and variation in how investments have been made and in how they have performed among subdisciplines or scientific market sectors. Legacy and time-corrected performance also provide contrasting views. This approach provides a quantitative way to assess market sectors in relation to each other in a way that should be broadly useful in planning future scientific investments for individuals, departments, or institutions.

scholarly journals Diversification Principles Of Real Estate Portfolios

2014 ◽  
Vol 22 (1) ◽  
pp. 51-57
Author(s):  
Katarzyna Śmietana
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Regional Differentiation ◽  
Investment Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market ◽  
Geographical Diversification

Abstract Diversifying an investment portfolio through the diversification of assets, which is accompanied by the dispersion of risk, is aimed at achieving an appropriate balance between the expected return and an acceptable level of investment risk. While considering the specificity of various forms of investing in property, the level of the liquidity risk of property assets and the risk of financial instruments in the real estate market, as well as the volume of the capital involved and the regional differentiation of its allocation, this paper intends to present the possible ways of diversifying the portfolio, including sectoral and geographical diversification on the assumption that investments are concentrated in metropolitan areas. The identification of investment portfolio diversification principles, including liquid assets and the real estate market, embraces this perspective on the conditions of the functioning of EU REITs, whose business goal is to manage professionally diversified real estate portfolios

scholarly journals Research on Investment Preference and the MAX Effect in Chinese Stock Market

2016 ◽  
Vol 4 (6) ◽  
pp. 519-533
Author(s):  
Xiaoju Gou ◽  
Limei Bie
Keyword(s):  
Stock Market ◽  
Turnover Rate ◽  
Negative Relationship ◽  
Portfolio Analysis ◽  
Idiosyncratic Volatility ◽  
Chinese Stock Market ◽  
Expected Return ◽  
Cross Sectional ◽  
Significant Negative Relationship ◽  
Volatility Puzzle

AbstractInvestors prefer to invest the stocks with high history returns, which results in that the return of the stock with high history maximum return is often lower than that with low history maximum return, i.e., the MAX effect. We show that the MAX effect is also significant in China stock market, that is, there is a significant negative relationship between maximum return and expected return. We then conduct portfolio analysis and Fama-Macbeth cross-sectional regression and find that range of price and turnover rate can explain the MAX effect in a certain extent, idiosyncratic volatility and idiosyncratic skewness cannot explain the negative relationship between maximum return and expected return. Moreover, maximum return explains the idiosyncratic volatility puzzle partially.

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