Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis

Zhanar Bimurat (), Darkhan U. Abdibekov (), Dulat N. Shukayev (), Yekaterina R. Kim () and Malik Shukayev ()
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Zhanar Bimurat: Kazakh National Technical University
Darkhan U. Abdibekov: Kazakh National Technical University
Dulat N. Shukayev: Kazakh National Technical University
Yekaterina R. Kim: Turan University

Journal of Asset Management, 2019, vol. 20, issue 5, No 6, 395-402

Abstract: Abstract This article proposes a simulation-based approach to find the optimal values of discretionary parameters in portfolio optimization problems. An algorithm is developed for finding jointly optimal values of required expected returns and of diversification restrictions.

Keywords: Simulation analysis; Investment portfolio; An extension method; Time-varying parameters; Optimization (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1057/s41260-019-00132-6

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