Investigating portfolio performance with higher moment considering entropy and rolling window in banking, insurance, and leasing industries

Advances in Mathematical Finance and Applications

مقاله 4، دوره 9، شماره 1، اسفند 2023، صفحه 67-83   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1954904.1720

نویسندگان

Arash Amini¹؛ Maryam Khalili Araghi^{* 2}؛ Hashem Nikoomaram³

¹Department of Financial Management, Science and Research branch, Islamic Azad University, Tehran, Iran.

²Department of Business Management, Science and Research branch, Islamic Azad University, Tehran, Iran.

³Department of Accounting, Science and Research branch, Islamic Azad University, Tehran, Iran.

چکیده

The optimal portfolio selection is vital for investment. The risk of portfolio Selection and return is the most critical concern of investment companies and private investors. According to modern portfolio theory, diversification should cover the risk. This theory is based on the normality of assets return. Experimental findings indicate that the assets return non-normality. Higher moments are sed to upgrade traditional models with the primary presumption of a normal distribution in recent years. This study uses a higher moment and the entropy for diversification and selects a portfolio given a non-normality assumption. It is essential to use up-to-date information to increase the model's efficiency, and accordingly, we used the rolling window for new price information. For the financial information method, we use the total index return in the last five working days and weigh the shares of the banking, insurance, and leasing industries on the next working day and evaluate this for three years. Python, math, and NumPy libraries were used to analyze the data. The results show that a much higher moment model can provide better portfolio selection results in most cases.

کلیدواژه‌ها

Performance evaluation؛ Higher moments؛ Banking and insurance؛ Entropy؛ Rolling window