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An approach to improve mean-variance portfolio optimization model
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Journal Article
An approach to improve mean-variance portfolio optimization model
2015
Overview
In the classical mean-variance finance model where investors have a relative preference for risk versus return, the authors add a new factor – the average trading volume of shares of the portfolio’s security for a specified period of time measured as a percentage of its total float number of shares – that is used to quantify the portfolio’s components based on their potential price increase. The introduced trading volume factor cannot be incorporated into the classic model by increasing the portfolio’s expected return because the price and volume correlation is weak. The modified mean-variance optimization model shows that Markowitz’s portfolio can be improved. The generalized optimal portfolio problem is formulated as a multicriteria problem. The given examples demonstrate that the offered model can be used successfully in practice.
Publisher
Palgrave Macmillan UK,Palgrave Macmillan
Subject
/ Finance
