Analyzing the quality of the sub-optimal solutions of multi-period portfolio optimization with transaction costs and no short selling

Subject Areas : Financial Knowledge of Securities Analysis

S. Ebrahimi Emamgheisi ¹ ( Master of Financial Engineering, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran )
S. Mohammad Reza Davoodi ² ( Assistant Professor, Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran )

Received: 2018-02-06 Accepted : 2018-08-11 Published : 2019-12-22

Keywords: multi-period portfolio, dynamic programming, orthogonal projection theorem, self-finance portfolio,

Abstract :

The present study is an applied and descriptive-analytic research, while investigating a multi-period portfolio, below the optimal calculated responses to the analytical form of Skaf and Boyd (2009) for models with limited transaction costs and the impossibility The sale of borrowings in the Tehran Stock Exchange is reviewed. In this research, the first 30 active companies in the Tehran Stock Exchange, which have the highest ratings in the period between 2011 and 2016, were first selected, and then, using data envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality.envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality.

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