Document Type : Research Paper

Authors

Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.

10.22099/ijes.2022.40654.1754

Abstract

Although theories over portfolio speculation have made remarkable progress so far, the performance of its proposed portfolios depends largely on the degree of accuracy in predicting future stocks prices dynamics. This study focuses on improving the performance of optimal portfolios by modeling the stocks prices dynamics through a time-inconsistent multivariate diffusion specification with drift vector. To this end, the share prices are simulated by means of a semi-martingale process with time inconsistent (local) martingale and information drift parts over the entire optimization horizon. Then, using the results of price simulation, we have looked into its consequences for constructing the portfolio of assets in the framework of Sharpe ratio maximization method and mean-variance analysis. Findings indicate that for the stock market under study (Tehran) within the trading dates spanning the interval 24-Mar-2001 to 19-Sep-2020, return and risk (standard deviation) of the portfolios obtained from applying this simulation scheme for mean-variance analysis and maximization of Sharpe ratio are both respectively higher and lower than those realized by the conventional methods. Additionally, a comparison of the simulation approach with performance of the actual market portfolios indicates that the Sharpe ratios of the simulation method is higher than those resulting from the market portfolios.

Keywords

Main Subjects

Article Title [Persian]

انتخاب پویای سبد سهام از طریق یک فرآیند ایتو با ساختارمندی اطلاعاتی بیشتر

Authors [Persian]

  • محمد فقهی کاشانی
  • احمدرضا محبی مجد

دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران.

Abstract [Persian]

اگرچه نظریه‌های مربوط به انتخاب سبد سهام تاکنون پیشرفت قابل‌توجهی داشته‌اند، عملکرد پرتفوی پیشنهادی آن‌ها تا حد زیادی به میزان دقت در پیش‌بینی پویایی قیمت سهام در آینده بستگی دارد. این مطالعه بر بهبود عملکرد پرتفوی بهینه با مدل‌سازی پویایی قیمت سهام از طریق یک فرآیند انتشار چند متغیره ناسازگار با زمان با بردار رانش تمرکز دارد. برای این منظور، قیمت سهام با استفاده از یک فرآیند شبه مارتینگل با مارتینگل زمان ناسازگار (محلی) و بخش‌های رانش اطلاعات در کل افق بهینه‌سازی شبیه‌سازی می‌شوند. سپس با استفاده از نتایج شبیه‌سازی قیمت، پیامدهای آن را برای ساخت سبد دارایی‌ها در چارچوب روش بیشینه‌سازی نسبت شارپ و تحلیل میانگین - واریانس بررسی کرده‌ایم. یافته‌ها حاکی از آن است که برای بازار سهام مورد مطالعه (تهران) در بازه زمانی فروردین 1380 تا شهریور 1399، پرتفوی‌های حاصل از اعمال این شبیه‌سازی برای هر دو روش‌ میانگین - واریانس و بیشینه سازی نسبت شارپ دارای بازده بالاتر و ریسک (انحراف معیار) کمتر از روش های متداول هستند. علاوه بر این، مقایسه رویکرد شبیه‌سازی با عملکرد پرتفوی‌های واقعی بازار نشان می‌دهد که نسبت‌های شارپ روش شبیه‌سازی بالاتر از نسبت‌های حاصل از پرتفوی‌های بازار است.

Keywords [Persian]

  • سبد سهام
  • حرکت براونی هندسی چند-بعدی
  • نسبت شارپ
  • میانگین-واریانس
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