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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Autores principales: Reza Raei, Saeed Bajalan, Alireza Ajam
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Lenguaje:FA
Publicado: University of Tehran 2021
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spelling 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)
institution DOAJ
collection DOAJ
language FA
topic portfolio selection
1/n model
mean-variance model
risk & return portfolio
Finance
HG1-9999
spellingShingle 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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