Optimization of multi-period portfolio model after fitting best distribution

Rezvan Kamali, Safieh Mahmoodi and Mohammad-Taghi Jahandideh

Finance Research Letters, 2019, vol. 30, issue C, 44-50

Abstract: In this paper, we use a multi-periodic portfolio selection algorithm to maximum the investor wealth using probabilistic risk measure. We use ASX100 stock data from 2015 to 2017 with 36 periods, 100 stocks and 725 days. Then we examine and use T-student, stable and kernel distributions to improve and optimize the multi-period portfolio optimization model. Kolmogorov-Smirnov test indicates that these distributions fit the experimental data better in comparison with normal distribution. Furthermore, kernel density estimator is the best density function to fit returns.

Keywords: Portfolio Optimization; Probability risk measure; Multi-period; Kernel distribution estimator (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:44-50

DOI: 10.1016/j.frl.2019.03.027

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