Forecasting and Optimization a Portfolio Using Robust Optimization

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Badri, Hamid Reza | 2011

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 42798 (01)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Modarres Yazdi, Mohammad
Abstract:
In this Thesis, a multi period portfolio optimization consisting stocks, gold and risk free asset is considered, in which periodical reinvestment and withdrawing is possible. Maximizing the net present value of investor’s cash flow is the objective. Due to the existence of uncertain parameters, two robust counterpart models are developed. In the first model, a conservative robust model is presented to generate feasible solution in all cases. In the second one, the conservative degree of investor is adjustable to control the risk of the model by investor appropriately. For evaluating the proposed models, the data of 5 well known stocks of Tehran market and gold prices are gathered. By using times series and Box & Jenkins methodology, the future price of these assets are forcasted. 95% confidence interval levels are utilized to predict them for five weeks. At the end, we conclude that the results of the second robust counter part are highly sensitive to input data as well as to the investor’s risk
Keywords:
Portfolio Optimization ; Forecasting ; Robust Optimization

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