Document Type : original-application paper
Authors
1 Department of Industrial Management, Financial Orientation, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.
2 Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.
3 Department of Economics, Payame Noor University, Isfahan, Iran.
Abstract
Purpose: The multi-period portfolio after closing, can be reviewed and modified at regular intervals. The philosophy behind using multi-period stock portfolio models is that investors often have a multi-period view of future asset changes that can be derived from technical, fundamental, or statistical models. In conventional multi-period portfolio models, it is assumed that the forecast and correction horizons are the same for all assets. However, one asset may be predicted for the one-month horizon and another for the two-month horizon, and may be revised in the future in these periods. The purpose of this study is to present a multi-period stock portfolio model in which assets have different time horizons for correction or an asset can not be traded for the first few periods and then enter the correction cycle.
Methodology: In this model, uncertainty variables defined on an uncertainty space are used to describe the returns. The objective function of the model is to maximize the ultimate wealth of the portfolio, and to limit portfolio risk, a constraint is used in which the uncertainty of the ultimate wealth below a threshold is controlled at a confidence level. To find the optimal solution, the model is converted into a form of linear programming by a change of variable method.
Findings: After explaining how to model the research portfolio, using a numerical example the model is implemented on two portfolios with 6 and 10 stocks and 4 monthly time steps on the Tehran Stock Exchange.
Originality/Value: The present study extends the uncertain multi-period portfolio to a multi-period portfolio with different time horizons and offers an optimal solution through linear programming. In the research stock portfolio, transaction costs are also considered to be more in line with the real conditions.
Keywords
Main Subjects
)