Agarwal Portfolio Selection Using Multi-Objective Optimisation

1. Auflage 2017
ISBN: 978-3-319-54416-8
Verlag: Springer Nature Switzerland
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 240 Seiten

Reihe: Progress in Mathematics

This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor's profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.

Saurabh Agarwal is a Professor of Accounting and Finance at the Indian Institute of Finance, India. He holds a PhD from the University of Delhi, India and is a member of the Associated Chambers of Commerce & Industry of India (ASSOCHAM), Professor's Forum of India, as well as the Indian Econometric Association. Professor Agarwal has published articles on portfolio management in a number of journals.

Autoren/Hrsg.

Agarwal, Saurabh

Inhaltsverzeichnis

1;Foreword;6
2;Preface;8
3;Acknowledgements;11
4;Contents;13
5;List of Figures;15
6;List of Tables;16
7;1 Introduction;18
7.1;1.1Systematic Portfolio Selection Decision Making;20
7.2;1.2Resolution of Complexities in Portfolio Choice;23
7.3;1.3Multi-Objective Portfolio Optimisation;25
7.4;1.4Role of Demographics on Portfolio Choice;26
7.5;1.5Framework for Multi-Objective Portfolio Optimisation;28
7.6;1.6Data Analysed;32
7.7;1.7Limitations of the Study;33
7.8;1.8Summary and Conclusions;33
7.9;References;34
8;2 Theoretical Underpinnings and Policy Issues;35
8.1;2.1Theoretical Underpinnings;35
8.1.1;2.1.1Conceptual Framework for Multiple Objectives;35
8.1.2;2.1.2Ordinal Ranking of Multiple Objectives;39
8.1.3;2.1.3Value Judgement;40
8.1.4;2.1.4Goal Programming Model: Theoretical Framework;43
8.1.5;2.1.5Formulation of a General Goal Programming (GP) Model;45
8.1.6;2.1.6Risk and Uncertainty;47
8.2;2.2Policy Issues;49
8.2.1;2.2.1Portfolio Selection: Challenges Ahead;49
8.2.2;2.2.2Capital Market Penetration;52
8.2.3;2.2.3Security Lending and Borrowing;53
8.2.4;2.2.4Initial Public Offer (IPO) Underperformance;53
8.2.5;2.2.5Pledging of Shares;54
8.2.6;2.2.6Relevance of Free Cash Flow;55
8.2.7;2.2.7Intra-Day Trading;56
8.2.8;2.2.8Quantitative and Qualitative Analysis;57
8.2.9;2.2.9Value Investing, Growth Investing and Momentum Investing;58
8.3;2.3Summary and Conclusions;59
8.4;References;62
9;3 Recent Advances in Portfolio Optimisation;66
9.1;3.1International Advances;67
9.2;3.2Recent Advances in India;76
9.3;3.3Summary and Conclusions;84
9.4;References;87
10;4 Understanding Retail Investors;92
10.1;4.1Introduction of Investor’s Goals and Constraints;93
10.2;4.2Questionnaire for Retail Investor: Analysis and Interpretation;94
10.2.1;4.2.1Profile of the Questionnaire Respondents;94
10.2.2;4.2.2Concept of Equity Portfolio Selection for Investors;97
10.2.3;4.2.3Gains Sought from Equity Portfolio;98
10.2.4;4.2.4Opinion on Performance of Professional Portfolio Managers;98
10.2.5;4.2.5Comparison of Current and Previous Portfolio Allocation;101
10.2.6;4.2.6Asset Allocation of Respondents;102
10.2.7;4.2.7Multiple Goals Pursued by Investors;103
10.2.8;4.2.8Multiple Constraints Faced by Investors;105
10.2.9;4.2.9Preference Among Equity-Based Mutual Funds;108
10.2.10;4.2.10 Effect of Demographic Factors on Portfolio Objectives;109
10.3;4.3Summary and Conclusions;111
10.4;References;115
11;5 Retail Investors and Expert’s Disposition Towards Equity Selection;116
11.1;5.1Macroeconomic Factors: Analysis and Interpretation;118
11.1.1;5.1.1Macroeconomic Factors Affecting Portfolio Selection;118
11.1.2;5.1.2Portfolio Benchmarks;119
11.2;5.2Equity Selection;121
11.2.1;5.2.1Company Factors Affecting Equity Selection;121
11.2.2;5.2.2Time Horizon for Tracking Portfolio Returns;126
11.2.3;5.2.3Market Capitalisation;127
11.2.4;5.2.4Social Investing;127
11.2.5;5.2.5Futures and Options (F&O) Market Analysis;130
11.3;5.3Outlook of Experts for Portfolio Optimisation;134
11.4;5.4Summary and Conclusions;136
11.5;References;138
12;6 Investor’s Demographics and Its Impact on Investment Behaviour;139
12.1;6.1Factor Analysis for Finding Main Factors Affecting Portfolio Objectives;140
12.1.1;6.1.1Factors Affecting Portfolio Goals;148
12.2;6.2Postulations Related to Investor’s Demographics and Portfolio Management Variables;148
12.3;6.3Summary and Conclusions;168
12.4;References;171
13;7 Modelling Framework and Advanced Data Analysis for Goal Programming (GP) Portfolio Optimisation;173
13.1;7.1Goal Programming (GP) Portfolio Selection Modelling;174
13.1.1;7.1.1Calculation of Return and Risk on Individual Equities;179
13.1.2;7.1.2Systematic and Unsystematic Risk;181
13.1.3;7.1.3Goals and Constraints;181
13.2;7.2Goal Programming (GP) Model for Portfolio Selection;185
13.2.1;7.2.1Calculation of Portfolio Return and Risk;195
13.3;7.3Performance Evaluation of Investment Portfolios;196
13.4;7.4Advanced Data Analytics for Goal Programming Portfolio Models;197
13.4.1;7.4.1Empirical Analysis;197
13.4.2;7.4.2Analysis of Portfolio Performance;199
13.5;7.5Simulation Exercise with an Additional Short Term Capital Gain Goal;203
13.5.1;7.5.1Performance Evaluation of Portfolio Part of Simulation Exercise;206
13.6;7.6Summary and Conclusions;208
13.7;References;210
14;8 Conclusions and Suggestions;212
14.1;8.1Crux of Scholarly Work on Portfolio Optimisation;214
14.2;8.2Understanding Retail Investors;216
14.3;8.3Expert’s Outlook Towards Portfolio Optimisation;219
14.4;8.4Factors Affecting Portfolio Objective;219
14.5;8.5Prophecy Related to Investor’s Demographics and Portfolio Management Variables;220
14.6;8.6Advanced Data Analytics of Goal Programming Portfolio Selection Model Formulations;221
15;Annexure 1;225
16;Questionnaire for Retail Investor;225
17;Annexure 2;232
18;Questionnaire for Expert Opinion;232
19;Annexure 3;235
20;Source of Data Collection for Questionnaire for Retail Investor;235
21;Index;237