Abstract
References
- Arnaut-Berilo, A. and Zaimović, A., 2012. How Efficient Are Bosnian Stock Market Indexes?. Eastern European Economics, 50(1), pp.26-45.
- Angelelli, E., Mansini, R., Speranza, M.G. (2008). A comparison of MAD and CVaR models with real features. Journal of Banking and Finance, 32(7), pp. 1188-1197.
- Benati, S., Rizzi, R. (2007). A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. European Journal of Operational Research, 176(1), pp. 423-434.
- Campbell, R., Koedijk, K. and Kofman, P., 2002. Increased correlation in bear markets. Financial Analysts Journal, 58(1), pp.87-94.
- Chen, R., , Roll, R., Ross, N.R. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3), pp. 383-403.
- Ferreira, R.J.P., Almeida Filho, A.T., Souza, F.M.C. (2009). A Decision Model for Portfolio Selection. Pesquisa Operacional, 29(2), pp. 403417.
- Konno, H., Yamazaki, H. (1991). Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokio Stock Market. Management Science, 37(5), pp. 519-531.
- Markowitz, H. (1952). Portfolio Selection, The Journal of Finance, 7(1), pp. 77-91.
- Sharma, A., Mehra, A. (2013). Portfolio selection with a minimax measure in safety constraint. Optimization: A Journal of Mathematical Programming and Operations Research, 62(11), pp. 1473-1500.
- Sharpe, F.W. (1971). A Linear Programming Approximation for the General Portfolio Selection Problem. Journal of Financial Quantitative Anal, 6(1), pp. 1263-1275.
- Young, M.R. (1998). A Minimax Portfolio Selection Rule with Linear Programming Solution. Management Science, 44(5), pp. 673-683. Finanzen.net GmbH (2016). Stock Price. Available on: www.quotenet.com (accessed 20th March 2016)
- Stoxx Limited (2016). EURO STOXX 50® INDEX. Available on: www.stoxx.com/document/Bookmarks/CurrentFactsheets/SX5GT.pdf (accessed 25th May 2016)
- Yahoo (2016). Historical Prices. Available on: www.finance.yahoo.com (accessed on 19th March 2016)
Abstract
Purpose- This paper
presents game theory approach for solving problem of the optimal investment
portfolio selection.
Methodology-
Model was formed on the basis of historical returns on stocks presented
as a matrix of payments. The goal is seeking the minimum between the largest
potential losses, and therefore it is called minmax model. The main objective
is to answer whether the minimax model tool performs better than the stock
market index, and to verify the relationship between the established Markowitz
meanvariance (MV) efficient portfolios and minmax optimum portfolio. We use
data from the European capital market and Euro Stoxx 50 index as a reference index
in the period 2004-2015, which we divided into two parts. We compared and
analyzed the performance of the portfolios created through minimax model with
the performance of market index and MV model in the actual investment period
and it proved to be dominant and more successful.
Findings- Results
speak in favor of minmax portfolio model as effective passive investment
strategy. It is possible to maximize returns over even longer periods of up to
year without changing portfolio investments, i.e. without frequent trading and
not just to gain market return, but to beat the market by this technical
investing.
Conclusion- Minmax
model could be used for asset allocation in portfolio investments and that
there is a real possibility to beat the market using minimax model.
References
- Arnaut-Berilo, A. and Zaimović, A., 2012. How Efficient Are Bosnian Stock Market Indexes?. Eastern European Economics, 50(1), pp.26-45.
- Angelelli, E., Mansini, R., Speranza, M.G. (2008). A comparison of MAD and CVaR models with real features. Journal of Banking and Finance, 32(7), pp. 1188-1197.
- Benati, S., Rizzi, R. (2007). A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. European Journal of Operational Research, 176(1), pp. 423-434.
- Campbell, R., Koedijk, K. and Kofman, P., 2002. Increased correlation in bear markets. Financial Analysts Journal, 58(1), pp.87-94.
- Chen, R., , Roll, R., Ross, N.R. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3), pp. 383-403.
- Ferreira, R.J.P., Almeida Filho, A.T., Souza, F.M.C. (2009). A Decision Model for Portfolio Selection. Pesquisa Operacional, 29(2), pp. 403417.
- Konno, H., Yamazaki, H. (1991). Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokio Stock Market. Management Science, 37(5), pp. 519-531.
- Markowitz, H. (1952). Portfolio Selection, The Journal of Finance, 7(1), pp. 77-91.
- Sharma, A., Mehra, A. (2013). Portfolio selection with a minimax measure in safety constraint. Optimization: A Journal of Mathematical Programming and Operations Research, 62(11), pp. 1473-1500.
- Sharpe, F.W. (1971). A Linear Programming Approximation for the General Portfolio Selection Problem. Journal of Financial Quantitative Anal, 6(1), pp. 1263-1275.
- Young, M.R. (1998). A Minimax Portfolio Selection Rule with Linear Programming Solution. Management Science, 44(5), pp. 673-683. Finanzen.net GmbH (2016). Stock Price. Available on: www.quotenet.com (accessed 20th March 2016)
- Stoxx Limited (2016). EURO STOXX 50® INDEX. Available on: www.stoxx.com/document/Bookmarks/CurrentFactsheets/SX5GT.pdf (accessed 25th May 2016)
- Yahoo (2016). Historical Prices. Available on: www.finance.yahoo.com (accessed on 19th March 2016)
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | June 30, 2017 |
| Published in Issue | Year 2017 |
Journal of Business, Economics and Finance (JBEF) is a scientific, academic, double blind peer-reviewed, quarterly and open-access journal. The publication language is English. The journal publishes four issues a year. The issuing months are March, June, September and December. The journal aims to provide a research source for all practitioners, policy makers and researchers working in the areas of business, economics and finance. The Editor of JBEF invites all manuscripts that that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JBEF charges no submission or publication fee.
Ethics
Policy - JBEF applies the standards of
Committee on Publication Ethics (COPE). JBEF is committed to the academic
community ensuring ethics and quality of manuscripts in publications.
Plagiarism is strictly forbidden and the manuscripts found to be plagiarized
will not be accepted or if published will be removed from the publication. Authors
must certify that their manuscripts are their original work. Plagiarism,
duplicate, data fabrication and redundant publications are forbidden. The
manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract, method).
Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.