A Probabilistic Approach to Portfolio Optimization under Epistemic Uncertainty

Rajan Kumar Saha; Montasir Mamun Mithu

A Probabilistic Approach to Portfolio Optimization under Epistemic Uncertainty

Rajan Kumar Saha * §

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Montasir Mamun Mithu

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Bangladesh University of Engineering & Technology

A Probabilistic Approach to Portfolio Optimization under Epistemic Uncertainty

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Abstract

Portfolio is an appropriate collection or list of investments held by an organization or an individual where Portfolio optimization means to calculate the optimal weights for the collection or list of investments that gives the highest return with least risk. In previous works on this topic did not consider correlation factor and epistemic uncertainty on returns. In our model both the factors are considered because correlation between the assets exists in real life and epistemic uncertainty may exist in different rate of return of different assets. In this work two models are developed to optimize a portfolio. Two models are Optimization model without EU and Optimization model with EU. By optimization we can decide the assets on which we can invest, how much to invest and can take divestment decisions.

References

9 Cites in Article

Reference Format

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Rajan Kumar Saha, Montasir Mamun Mithu. 2014. "A Probabilistic Approach to Portfolio Optimization under Epistemic Uncertainty". Global Journal of Research in Engineering - G: Industrial Engineering GJRE-G Volume 14 (GJRE Volume 14 Issue G3).

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GJRE Volume 14 Issue G3

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Journal Specifications

Crossref Journal DOI 10.17406/gjre

Print ISSN 0975-5861

e-ISSN 2249-4596

Keywords

portfolio epistemic uncertainty (EU) covariance correlation

Classification

GJRE-G Classification FOR Code: 290502

Submission ReceivedDecember 8, 2013
Peer Review Double Blind
Handling Editor
Accepted January 2, 2014
Published January 15, 2014

Version of record

v1.2

Issue date

June 25, 2014

Language

English

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Article Matrices

Total Score: 102

Country: Bangladesh

Subject: Global Journal of Research in Engineering

Authors: Rajan Kumar Saha, Montasir Mamun Mithu (PhD/Dr. count: 0)

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