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Doctorate Defense

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"New Multi Period Portfolio Management Model for Risk Hedging with Different Rates for Borrowing and Lending"

Advisor: Dr. Seyed Hosseini                                                                         Co- Advisor:  Dr. Sadjadi

Internal Committee Member: Dr. Babakhani , Dr. Mirzamohammadi      External Committee Member: Dr. Taghavi Fard, Dr. Abdeh Tabrizi



  We always invest in order to obtain more welfare in the present and future. Indeed, investment has a broad range and diversity in financial markets. Investing in CDs [1] , bonds, stocks, mutual funds and so on are the instances of investment tools. Finding the best assignment of assets with the maximum return and minimal risk is the prime concern of investors. Asset assignment tools are used as techniques for construction of portfolios with the aim of equipoise the risk and diversify the portfolio. Each of investment tools has the antiseptic risk and return in different time periods, so their effect on portfolio will change during the time. Most of investing experts believe that the diversification in portfolio is vital to avoid nonsystematic risk. In this dissertation, it is tried to offer the appropriate alternatives for investors via proposing a new model with special considerations such as different rates for borrowing and lending, multi time periods for model, and proper manner for addressing the uncertainty. Real data are used for running the developed models. Analyzing and validation the results indicate that the developed models in this dissertation have better performance than the selective index and finally the fuzzy model is  better than the stochastic one. Risk as an essential factor in decision making is regarded in  another version of developed models to give better and useful results.

Keywords: portfolio management, fuzzy programming, chance constraint programming

  [1] Certificate of Deposit

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