The construction of an investment portfolio using stochastic programming

Audrius Kabašinskas and Lina Kadikinaitė

Journal of Sustainable Finance & Investment, 2016, vol. 6, issue 3, 151-160

Abstract: The aim of this paper is to construct a portfolio of eight different stocks from New York Stock Exchange market (AIR, ABM, TSCO, HLX, KO, DIS, AMZN, and VZ) using stochastic programming. The next stage (period) prices are generated using a stochastic difference equation in order to introduce uncertainty. For the portfolio selection, we use three different risk measures – min–max decision rule, value-at-risk, and conditional value-at-risk. After constructing three different portfolios, they are compared using well-known efficiency ratios – Sharpe, Sortino, and Rachev ratios.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/20430795.2016.1188538 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jsustf:v:6:y:2016:i:3:p:151-160

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TSFI20

DOI: 10.1080/20430795.2016.1188538

Access Statistics for this article

Journal of Sustainable Finance & Investment is currently edited by Dr Matthew Haigh

More articles in Journal of Sustainable Finance & Investment from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().