DOI: 10.25148/etd.fi10022509
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A Comprehensive Portfolio Construction Under Stochastic Environment

Abstract: The results indicate an increase in risk-return performance. Choosing the Valueat-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute ma… Show more

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