A Dynamic Behavioral Approach to Strategic Asset Allocation: Living with Uncertainty and Diverse Objectives

Cacella, P.; Fernandes, José Sebastião Cunha

doi:10.2139/ssrn.1494508

Cited by 1 publication

(1 citation statement)

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“…Computational study is performed in two main parts; first, verifying and validating proposed GA and second, studying the applicability of presented model using large scale problems. M. F. C. Paulo and Jose L. B. Fernandes [29] indicate that the traditional approach to strategic asset allocation, based on portfolio theory, considers a rational investor optimizing the risk-return relationship of possible allocations, given, with certainty, the risk-return properties of each eligible asset. This approach usually offers unstable and unfeasible portfolios, which don't fit to the decision maker multiple objectives and to the stochastic characteristic of the risk-return estimation.…”

Section: Literature Reviewmentioning

confidence: 99%

New model and method for portfolios selection

Hadi¹,

Naggar²,

Bary³

2016

ams

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The portfolio selection problem has a venerable history. For example, Markowitz (1952), (1959), formulates the problem as a trade-off between the expected return and the expected risk of a portfolio. For his path breaking work that has revolutionized investment practice, he won the Nobel Prize in 1990. In this paper we proposed enhancement to the traditional portfolio selection problem. We enhance the formulation of the problem by introducing four additional constraints that take into account (a) the collinearity problem to decrease the portfolio risk, (b) the special preference of active stocks to control the systematic portfolio risk, (c) the special preference of stocks with outstanding performance to increase the unexpected return which it is special case of the non-efficient market, and (d) control the overall risk of the portfolio. Additionally, we propose enhancement method for GA (EGA). In the

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Section: Literature Reviewmentioning

confidence: 99%