PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return

Abdulnasser Hatemi-J and Alan Mustafa

Statistical Software Components from Boston College Department of Economics

Abstract: Investors have been aware of the potential benefits of portfolio diversification for a long time. Markowitz (1952) introduced the seminal method for optimizing the portfolio problem by finding the budget shares (i.e. the weights) that are based on minimizing the variance of the underlying portfolio. Hatemi-J and El-Khatib (2015) suggested an alternative approach for finding the weights that results in maximizing the risk adjusted return of the portfolio. This approach can be preferable by the rational investors as it combines risk and return once the optimal budget shares are needed. Hatemi-J, Hajji and El-Khatib (2019) provide a general solution for this risk adjusted return problem that can be utilized for any potential number of assets in the portfolio. This Gauss module constructs portfolios using these two alternative approaches.

Language: GAUSS
Requires: GAUSS
Keywords: portfolio construction; risk adjusted return (search for similar items in EconPapers)
Date: 2020-06-18
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Citations: View citations in EconPapers (1)

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http://fmwww.bc.edu/repec/bocode/p/pdbvrar0.gss program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pd_data8.txt sample data (text/plain)

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