Visiting Lecturer Program (19)

 Speaker: Iman Hajizadeh
PhD candidate, Rotman School of Management, University of Toronto, Canada

Local Organizer: Keyvan Vakili

Title: Portfolio Selection with Bounded Loss

Time: Saturday, Aug 25, 2007, 10:00-11:30
Location: School of Management and Economics, Sharif University of Technology, Tehran

Abstract:

Markowitz (1952) introduced a portfolio selection rule based on minimizing the variance of the portfolio subject to a lower bound on expected return. His rule, famously known as the Mean-Variance selection rule, laid the foundation for modern portfolio management and dominates the portfolio selection literature and practice today. The mean-variance selection rule, although greatly versatile and useful, has some logical, behavioral, and technical shortcomings. In this presentation, we analyze these shortcomings, present a mathematical programming solution procedure for the portfolio selection problem based on value-at-risk and conditional value-at-risk, and use data from the US market to test the performance of our model compared to an S&P500 index portfolio.

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