PORTFOLIO SELECTION USING LEVEL CROSSING ANALYSIS

Meysam Bolgorian, A. H. Shirazi and G. R. Jafari ()
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Meysam Bolgorian: Department of Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
A. H. Shirazi: Interdisciplinary Neuroscience Research Program (INRP), Tehran University of Medical Sciences, Tehran, Iran
G. R. Jafari: Department of Physics, Shahid Beheshti University, G. C., Evin, Tehran 19839, Iran

International Journal of Modern Physics C (IJMPC), 2011, vol. 22, issue 08, 841-848

Abstract: Asset allocation is one of the most important and also challenging issues in finance. In this paper using level crossing analysis we introduce a new approach for portfolio selection. We introduce a portfolio index that is obtained based on minimizing the waiting time to receive known return and risk values. By the waiting time, we mean time that a special level is observed in average. The advantage of this approach is that the investors are able to set their goals based on gaining return and knowing the average waiting time and risk value at the same time. As an example we use our model for forming portfolio of stocks in Tehran Stock Exchange (TSE).

Keywords: Portfolio selection; risk; level crossing; 89.65.Gh; 05.40.-a (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1142/S0129183111016646

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