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

被引：0
|
作者：
Zhanar Bimurat
Darkhan U. Abdibekov
Dulat N. Shukayev
Yekaterina R. Kim
Malik D. Shukayev
机构：
[1] Kazakh National Technical University,
[2] Turan University,undefined
[3] University of Alberta,undefined
来源：
Journal of Asset Management | 2019年 / 20卷
关键词：
Simulation analysis; Investment portfolio; An extension method; Time-varying parameters; Optimization;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：395 / 402
页数：7
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