Publicación: AN APPROACH FOR A MULTI-PERIOD PORTFOLIO SELECTION PROBLEM BY CONSIDERING TRANSACTION COSTS AND PREDICTION ON THE STOCK MARKET
Fecha
2023
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TIS PAPER ADDRESSES A METHOD TO SOLVE A MULTI-PERIOD PORTFOLIO SELECTION ON THE STOCK MARKET. TE PORTFOLIO PROBLEM SEEKS AN INVESTOR TO TRADE STOCKS WITH A FNITE BUDGET AND A GIVEN INTEGER NUMBER OF STOCKS TO HOLD IN A PORTFOLIO. TE TRADE MUST BE PERFORMED THROUGH A STOCKBROKER THAT CHARGES ITS RESPECTIVE TRANSACTION COST AND HAS ITS MINIMUM REQUIRED TRADE AMOUNT. A MATHEMATICAL MODEL HAS BEEN PROPOSED TO DEAL WITH THE CONSTRAINED PROBLEM. TE OBJECTIVE FUNCTION IS TO FND THE BEST RISK-RETURN RATE; THUS, SHARPE RATIO AND TREYNOR RATIO ARE USED AS OBJECTIVE FUNCTIONS. TE RETURNS ARE THE SAME FOR THESE RATIOS, BUT THE RISKS ARE NOT SHARPE
CONSIDERING COVARIANCE AND TREYNOR SYSTEMATICAL RISK. TE RETURNS ARE PREDICTED USING A NEURAL NET WITH LONG-SHORT-TERM MEMORY
(LSTM). TIS NEURAL NET IS COMPARED WITH SIMPLE FORECASTING METHODS THROUGH MEAN ABSOLUTE PERCENTAGE ERROR (MAPE).
COMPUTATIONAL EXPERIMENTS SHOW THE QUALITY PREDICTION PERFORMED BY LSTM. TE HETEROSKEDASTIC RISK IS ESTIMATED BY GENERALIZED
AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (GARCH), ADJUSTING THE VARIANCE FOR EVERY PERIOD; THIS RISK MEASURE IS USED IN SHARPE
RATIO. TE EXPERIMENT CONTEMPLATES A WEEKLY PORTFOLIO SELECTION WITH 5 AND 10 STOCKS IN 122 WEEKLY PERIODS FOR EACH CHILEAN MARKET
RATIO. TE BEST PORTFOLIO IS SHARPE RATIO WITH TEN STOCKS, PERFORMING A 62.28% REAL RETURN BEATING THE MARKET, REPRESENTED BY THE
SELECTIVE STOCK PRICE INDEX (IPSA). EVEN THE WORST PORTFOLIO, TREYNOR RATIO, OVERCOMES THE IPSA CUMULATIVE YIELD WITH TEN STOCKS.
