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Portfolio optimization based on the Treynor ratio
Economic Cybernetics
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| Title |
Portfolio optimization based on the Treynor ratio
Хохлов В.Ю. Оптимизация портфеля ценных бумаг по норме Трейнора Хохлов В.Ю. Оптимізація портфелю цінних паперів за нормою Трейнора |
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| Creator |
Hohlov, Valentyn; independent consultant in corporate finance and investment management
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| Description |
Purpose and subject of researchThe aim of the study is to develop a model of portfolio optimization allowance Traynor (ratio of return and systematic risk) and a corresponding algorithm.Research methodologyThe approach optimizing the ratio of return and risk, which was first proposed by Markowitz, but in this article instead of the full risk of the criterion of optimization and utility function for the Beta. The problem is solved by the proposed algorithm quadratic programming.Value resultsThis study is based on the efficient market hypothesis, and that the stock market is developed and liquid. Most research in this area focused on optimizing the full risk and, in this paper we consider the systematic risk, this risk is rewarded by investors in developed markets. Optimization of the norm Traynor can be used to manage a well-diversified portfolio that is usually relevant for institutional investors.ConclusionsThe optimal portfolio in the area of return-beta are on convex polygons, as opposed to parabolic boundary effective in-plane yield risk. But when a large number of assets in the portfolio at a rate Traynor optimal portfolio is close to the optimum allowance Sharpe.
— Стаття присвячена оптимізації портфелю цінних паперів за нормою Трейнора. Розроблений алгоритм дозволяє знаходити оптимальний за цим показником портфель при наявності обмежень на вагу активів. Перевірка алгоритму на компонентах індексу S&P 100 у 2011 році показала, що цей портфель зазвичай лежить на ефективній границі Марковиця та є досить близьким до оптимального за нормою Шарпа портфелю.Ключові слова: оптимальний портфель, бета, альфа, норма Трейнора, норма Шарпа, ефективна границя. |
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| Publisher |
Donetsk National University
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| Date |
2012-12-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — — |
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| Format |
application/pdf
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| Identifier |
http://eccyb.org/index.php/isjec/article/view/6
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| Source |
Economic Cybernetics; No 4-6(76-78) (2012); 29-35
Экономическая кибернетика. Международный научный журнал; No 4-6(76-78) (2012); 29-35 Економічна кібернетика. Міжнародний науковий журнал; No 4-6(76-78) (2012); 29-35 2312-5837 2077-8031 |
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| Language |
ukr
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| Relation |
http://eccyb.org/index.php/isjec/article/view/6/6
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| Rights |
Copyright (c) 2014 Valentyn Hohlov
http://creativecommons.org/licenses/by-sa/4.0 |
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