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Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis

Author

Listed:
  • Zhanar Bimurat

    (Kazakh National Technical University)

  • Darkhan U. Abdibekov

    (Kazakh National Technical University)

  • Dulat N. Shukayev

    (Kazakh National Technical University)

  • Yekaterina R. Kim

    (Turan University)

  • Malik D. Shukayev

    (University of Alberta)

Abstract

This article proposes a simulation-based approach to find the optimal values of discretionary parameters in portfolio optimization problems. An algorithm is developed for finding jointly optimal values of required expected returns and of diversification restrictions.

Suggested Citation

  • Zhanar Bimurat & Darkhan U. Abdibekov & Dulat N. Shukayev & Yekaterina R. Kim & Malik D. Shukayev, 2019. "Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 395-402, September.
    • Handle: RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00132-6
    DOI: 10.1057/s41260-019-00132-6
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    References listed on IDEAS

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    1. Weikard, Hans-Peter & Seyhan, Demet, 2009. "Distribution of phosphorus resources between rich and poor countries: The effect of recycling," Ecological Economics, Elsevier, vol. 68(6), pages 1749-1755, April.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
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