Record Details

Markov chain portfolio liquidity optimization model

Independent Journal of Management & Production

View Archive Info
 
 
Field Value
 
Title Markov chain portfolio liquidity optimization model
 
Creator Abensur, Eder Oliveira
 
Subject Finance; Operations Research
Portfolio Optimization; Markov chain; Genetic Algorithms
 
Description The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Markov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The work intends to propose a multi-criterion non-linear optimization model using liquidity based on a Markov chain. The non-linear model was tested using Genetic Algorithms with twenty five Brazilian stocks from 2007 to 2009. The results suggest that this is an innovative development methodology and useful for developing an efficient and realistic financial portfolio, as it considers many attributes such as risk, return and liquidity.
 
Publisher Instituto Federal de Educação, Ciência e Tecnologia de São Paulo
 
Contributor —
 
Date 2014-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/pdf
text/html
 
Identifier http://www.ijmp.jor.br/index.php/ijmp/article/view/156
10.14807/ijmp.v5i2.156
 
Source Independent Journal of Management & Production; Vol 5, No 2 (2014): Independent Journal of Management & Production; 360-380
2236-269X
 
Language eng
 
Relation http://www.ijmp.jor.br/index.php/ijmp/article/view/156/106
http://www.ijmp.jor.br/index.php/ijmp/article/view/156/387