Tuesday, 15:15 - 15:40 h, Room: H 1029


Ceren Tuncer Şakar
Effects of multiple criteria and different planning horizons on portfolio optimization

Coauthor: Murat Köksalan


Portfolio optimization is the problem of allocating available resources between different investments in the market. Following the pioneering work of Markowitz, Modern Portfolio Theory -which has two criteria of mean return and variance- has emerged and several approaches to the problem have been proposed. Incorporating multiple criteria to portfolio optimization and considering multi-period settings are important. Considering return, liquidity, variance and Conditional Value at Risk, we look into the effects of multiple criteria on the decision and objective spaces of portfolio optimization problems. We also employ Stochastic Programming to handle multi-period portfolio optimization and compare the effects of using different planning horizons. We demonstrate our results based on tests performed with stocks traded on Istanbul Stock Exchange.


Talk 1 of the contributed session Tue.3.H 1029
"Applications of multiobjective optimization" [...]
Cluster 15
"Multi-objective optimization" [...]


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