The following information was submitted:
Transactions: INTERNATIONAL JOURNAL of MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
Transactions ID Number: 19-749
Full Name: Sergio Ortobelli Lozza
Position: Associate Professor
Age: ON
Sex: Male
Address: v. dei caniana, 2
Country: ITALY
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E-mail address: sergio.ortobelli@unibg.it
Other E-mails: sol@unibg.it,gaetano.iaquinta@unibg.it
Title of the Paper: garch type portfolio selection models with the markovian approach
Authors as they appear in the Paper: Gaetano Iaquinta, Sergio Ortobelli lozza, Enrico Angelelli
Email addresses of all the authors: sergio.ortobelli@unibg.it,gaetano.iaquinta@unibg.it,angele@eco.unibs.it
Number of paper pages: 8
Abstract: This paper describes different GARCH type portfolio models using a bivariate Markov process. In particular we approximate the GARCH process with a Markov chain in order to value the price/return distribution at the investor's temporal horizon. Then we discuss the computational complexity of the optimization problem and we implement an heuristic algorithm for the global optimum. Finally we propose an ex-post comparison among portfolio selection strategies based on reward/risk performance ratios.
Keywords: GARCH models, Portfolio selection, Performance strategies, Ex-post analysis , Heuristic, Global optimization, Markov chains
EXTENSION of the file: .pdf
Special (Invited) Session: The Markovian portfolio selection model with GARCH volatility dynamics
Organizer of the Session: 648-195
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