Robust investment management with uncertainty in asset weighting by fund managers investment funds
| Autor: | REZA faghire, gholamreza zomorodian, Majid Shariat panahi, Mir Feyz Fallahshams |
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| Jazyk: | perština |
| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | فصلنامه بورس اوراق بهادار, Vol 13, Iss 49, Pp 160-181 (2020) |
| Druh dokumentu: | article |
| ISSN: | 2228-5431 2820-9893 |
| DOI: | 10.22034/jse.2020.11177 |
| Popis: | In this article, the issue is that the investment manager should allocate his available funds to a set of fund managers whose assets are assigned to the fund manager. Investing (or money manager) is not exactly known. The paper addresses the sustainability framework in which the uncertainty about the allocation of funds from asset managers to asset managers, combined with the uncertainty arising from the return on the asset group, has been taken into account so that investors can more accurately measure the skills of fund managers, funds Separate yourself more efficiently between funds. In the proposed model, the variance is considered as a risk, and among the periods of each fund, the worst variance and the worst, the smallest variance is chosen. For this reason, Min-Max has been used to solve the problem.As we see, the results obtained from a firm modeling solution, the number of excess returns (nominal and benchmark differences) as well as the number of risk changes relative to the standard returns in the outcome tables determine that investors must pay their funds in which of the fund And how much they invest.In the five-step process of investment management or securities portfolio formation, the two components of securities selection and weighting are decided. In this process, the last step is to measure the performance of the portfolio in which the rate of return is measured along with the risk. |
| Databáze: | Directory of Open Access Journals |
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