Robust portfolio planning in the presence of market anomalies


Oguzsoy C. B. , Guven S.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, cilt.35, sa.1, ss.1-6, 2007 (SCI İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 35 Konu: 1
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.omega.2005.01.020
  • Dergi Adı: OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE
  • Sayfa Sayıları: ss.1-6

Özet

In this study, a short-term portfolio modeling formulation is developed using existing anomalies as a single determinant for daily Istanbul Stock Exchange National 100 Composite Index (ISE) and US dollars (USD) returns in a Robust optimization (RO) framework. Using anomalies in planning within an RO framework establishes a balance between risk seeking and risk averse behaviors, as generating profit from anomalies is risky and RO enables to settle down the extreme risk seeking behavior. Applications of the model using various data sets result in real profit generation such that terminal wealth figures increase considerably more than Wholesale Price Index (WPI). This study demonstrates that RO is a viable approach to make use of anomaly information for short-term profits. (c) 2005 Published by Elsevier Ltd.