Open AccessEconometric Model Used in the Portfolio Optimization over Several Periods
Author(s) -
Constantin Anghelache,
Mădălina-Gabriela Anghel,
Ștefan Virgil Iacob
Publication year - 2021
Publication title -
economic insights - trends and challenges
Language(s) - English
Resource type - Journals
eISSN - 2284-8584
pISSN - 2284-8576
DOI - 10.51865/eitc.2021.01.04
Subject(s) - portfolio , portfolio optimization , post modern portfolio theory , constraint (computer aided design) , mathematical optimization , econometrics , time horizon , merton's portfolio problem , computer science , replicating portfolio , economics , mathematics , financial economics , geometry
"The classic problem of optimizing a portfolio can be extended to a multi-stage programming problem. The purpose of the multi-period portfolio optimization problem is to determine the optimal portfolio for a certain finite time horizon.In a multi-period model in which investors are allowed to change the composition of the portfolio, it is essential to take into account trading costs, a solution in this regard being the use of tree-type scenarios.The study undertaken by the authors considered the construction of a portfolio optimization model in case there is a certain constraint on returns. ARMA type processes were used to model the conditional mean equation."