Investigating the Efficiency of the 1/N Model in Portfolio Selection
Objective: Since Markowitz's (1952) pioneering work on a single-period investment model, mean-variance portfolio optimization problem has become a cornerstone of investment management in both academic and industrial fields. Despite the presence of various theories and methods, the model contin...
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University of Tehran
2021
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oai:doaj.org-article:0c700c2af0d24e97928e904264db6c642021-11-14T06:00:48ZInvestigating the Efficiency of the 1/N Model in Portfolio Selection1024-81532423-537710.22059/jfr.2018.245590.1006548https://doaj.org/article/0c700c2af0d24e97928e904264db6c642021-05-01T00:00:00Zhttps://jfr.ut.ac.ir/article_81937_a93647a242eeee5fab33b77e85923029.pdfhttps://doaj.org/toc/1024-8153https://doaj.org/toc/2423-5377Objective: Since Markowitz's (1952) pioneering work on a single-period investment model, mean-variance portfolio optimization problem has become a cornerstone of investment management in both academic and industrial fields. Despite the presence of various theories and methods, the model continues to be considered in the portfolio selection, because it doesn`t need to estimate other parameters in optimization and computes simply. The objective of this study was to investigate the performance of Model in the portfolio. Methods:In this paper, various models and methods have been used to select the optimal portfolios and to evaluate the performance of the portfolio. At the end of the paper, the ELECTRE multi-criteria decision-making method has been used to rank the portfolio selection models. Portfolio selection models in this paper include model, mean-variance model, minimum-variance model and composition of the minimum-variance model and model. In this paper, various criteria such as Sharpe ratio, Trainer ratio, Modigliani and Modigliani ratio, Sortino ratio, Information ratio have been used to measure portfolio performance. Results: Relatively, the performance of the model was better in terms of Sharpe ratio and Modigliani and Modigliani ratio, the performance of the mean-variance model in terms of Trainer ratio, and the performance of the composition of the minimum-variance model and model in terms of Sortino ratio and Information ratio. Conclusion: Finally, the ELECTRE multi-criteria decision-making method has been used to rank the portfolio selection models. The results indicate that model and minimum-variance model is superior to other models.Reza RaeiSaeed BajalanAlireza AjamUniversity of Tehranarticleportfolio selection1/n modelmean-variance modelrisk & return portfolioFinanceHG1-9999FAتحقیقات مالی, Vol 23, Iss 1, Pp 1-16 (2021) |
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portfolio selection 1/n model mean-variance model risk & return portfolio Finance HG1-9999 |
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portfolio selection 1/n model mean-variance model risk & return portfolio Finance HG1-9999 Reza Raei Saeed Bajalan Alireza Ajam Investigating the Efficiency of the 1/N Model in Portfolio Selection |
description |
Objective: Since Markowitz's (1952) pioneering work on a single-period investment model, mean-variance portfolio optimization problem has become a cornerstone of investment management in both academic and industrial fields. Despite the presence of various theories and methods, the model continues to be considered in the portfolio selection, because it doesn`t need to estimate other parameters in optimization and computes simply. The objective of this study was to investigate the performance of Model in the portfolio.
Methods:In this paper, various models and methods have been used to select the optimal portfolios and to evaluate the performance of the portfolio. At the end of the paper, the ELECTRE multi-criteria decision-making method has been used to rank the portfolio selection models. Portfolio selection models in this paper include model, mean-variance model, minimum-variance model and composition of the minimum-variance model and model. In this paper, various criteria such as Sharpe ratio, Trainer ratio, Modigliani and Modigliani ratio, Sortino ratio, Information ratio have been used to measure portfolio performance.
Results: Relatively, the performance of the model was better in terms of Sharpe ratio and Modigliani and Modigliani ratio, the performance of the mean-variance model in terms of Trainer ratio, and the performance of the composition of the minimum-variance model and model in terms of Sortino ratio and Information ratio.
Conclusion: Finally, the ELECTRE multi-criteria decision-making method has been used to rank the portfolio selection models. The results indicate that model and minimum-variance model is superior to other models. |
format |
article |
author |
Reza Raei Saeed Bajalan Alireza Ajam |
author_facet |
Reza Raei Saeed Bajalan Alireza Ajam |
author_sort |
Reza Raei |
title |
Investigating the Efficiency of the 1/N Model in Portfolio Selection |
title_short |
Investigating the Efficiency of the 1/N Model in Portfolio Selection |
title_full |
Investigating the Efficiency of the 1/N Model in Portfolio Selection |
title_fullStr |
Investigating the Efficiency of the 1/N Model in Portfolio Selection |
title_full_unstemmed |
Investigating the Efficiency of the 1/N Model in Portfolio Selection |
title_sort |
investigating the efficiency of the 1/n model in portfolio selection |
publisher |
University of Tehran |
publishDate |
2021 |
url |
https://doaj.org/article/0c700c2af0d24e97928e904264db6c64 |
work_keys_str_mv |
AT rezaraei investigatingtheefficiencyofthe1nmodelinportfolioselection AT saeedbajalan investigatingtheefficiencyofthe1nmodelinportfolioselection AT alirezaajam investigatingtheefficiencyofthe1nmodelinportfolioselection |
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1718429878910451712 |