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Technical University of Crete
Technical University of Crete
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| URI | http://purl.tuc.gr/dl/dias/686D832D-3C31-4572-ACE8-422E90091067 | - |
| Identifier | https://doi.org/10.26233/heallink.tuc.76532 | - |
| Language | en | - |
| Extent | 1.2 megabytes | en |
| Title | Robust optimization approaches for portfolio selection - a computational and comparative analysis | en |
| Title | Μεθοδολογίες ευσταθούς βελτιστοποίησης επενδυτικών χαρτοφυλακίων: μια υπολογιστική συγκριτική ανάλυση | el |
| Creator | Georgantas Antonios | en |
| Creator | Γεωργαντας Αντωνιος | el |
| Contributor [Committee Member] | Pasiouras Fotios | en |
| Contributor [Committee Member] | Πασιουρας Φωτιος | el |
| Contributor [Thesis Supervisor] | Doumpos Michael | en |
| Contributor [Thesis Supervisor] | Δουμπος Μιχαηλ | el |
| Contributor [Committee Member] | Zopounidis Konstantinos | en |
| Contributor [Committee Member] | Ζοπουνιδης Κωνσταντινος | el |
| Publisher | Πολυτεχνείο Κρήτης | el |
| Publisher | Technical University of Crete | en |
| Academic Unit | Πολυτεχνείο Κρήτης::Σχολή Μηχανικών Παραγωγής και Διοίκησης | el |
| Description | "Μια εργασία που υποβλήθηκε για τη μερική κάλυψη των αναγκών απόκτησης του Μεταπτυχιακού Διπλώματος Ειδίκευσης στη Σχολή ΜΠΔ". | el |
| Content Summary | The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and treatment of deep uncertainties for the future asset returns is a major issue for the success of analytical portfolio selection models. Recently, robust optimization (RO) models have attracted a lot of interest in this area. RO provides a computationally tractable framework for portfolio optimization based on relatively general assumptions on the probability distributions of the uncertain risk parameters. Thus, RO extends the framework of traditional linear and non-linear models (e.g., the well-known mean-variance model), incorporating uncertainty through a formal and analytical approach into the modeling process. Robust counterparts of existing models can be considered as worst-case re-formulations as far as deviations of the uncertain parameters from their nominal values are concerned. Although several RO models have been proposed in the literature focusing on various risk measures and different types of uncertainty sets about asset returns, analytical empirical assessments of their performance have not been performed in a comprehensive manner. The objective of this study is to fill in this gap in the literature. More specifically, we consider different types of RO models based on popular risk measures and conduct an extensive comparative analysis of their performance using data from the US market during the period 2005-2016. For the analysis, three different robust versions of the mean-variance model are considered, together with two other robust models for conditional value-at-risk and the omega ratio. The robust versions are compared against standard (non-robust) models through various portfolio performance metrics, focusing on out-of-sample results. The analysis is based on a rolling window approach. | en |
| Type of Item | Μεταπτυχιακή Διατριβή | el |
| Type of Item | Master Thesis | en |
| License | http://creativecommons.org/licenses/by-nd/4.0/ | en |
| Date of Item | 2018-06-18 | - |
| Date of Publication | 2018 | - |
| Subject | Ευσταθής βελτιστοποίηση | el |
| Subject | Robust optimization | en |
| Subject | Ανάλυση χαρτοφυλακίου | el |
| Subject | Portfolio selection | en |
| Bibliographic Citation | Antonios Georgantas, "Robust optimization approaches for portfolio selection - a computational and comparative analysis", Master Thesis, School of Production Engineering and Management, Technical University of Crete, Chania, Greece, 2018 | el |
| Bibliographic Citation | Αντώνιος Γεωργαντάς, "Μεθοδολογίες ευσταθούς βελτιστοποίησης επενδυτικών χαρτοφυλακίων: μια υπολογιστική συγκριτική ανάλυση", Μεταπτυχιακή Διατριβή, Σχολή Μηχανικών Παραγωγής και Διοίκησης, Πολυτεχνείο Κρήτης, Χανιά, Ελλάς, 2018 | el |
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