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Portfolio selection models based on characteristics of return distributions

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  • Paweł Wnuk Lipinski

    (Faculty of Economic Sciences)

Abstract

This article concerns the problem of optimal portfolio selection. The objective of this paper is to indicate the best method and criteria for optimal portfolio selection. In order to achieve the objective six models including such optimization criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi-objective programming is used to transform multiple conflicting criteria into a single objective problem and to find optimal portfolios. In order to indicate the best portfolio selection model a simulation based on five years data from January 1, 2007 to December 31, 2011 was conducted. The portfolios were constructed from WIG20 stocks and WIBID 3M as risk-free asset.

Suggested Citation

  • Paweł Wnuk Lipinski, 2013. "Portfolio selection models based on characteristics of return distributions," Working Papers 2013-14, Faculty of Economic Sciences, University of Warsaw.
    • Handle: RePEc:war:wpaper:2013-14
    as

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    File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP99.pdf
    File Function: First version, 2013
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    optimal portfolio; portfolio selection; fuzzy multi-objective programming; skewness; kurtosis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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