Markov Chain Portfolio Liquidity Model
نویسنده
چکیده
The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Maarkov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The non-linear models were tested using Genetic Algorithms with twenty five Brazilian stocks from 2007 to 2009. The results suggest that this is an innovative development methodology and useful for developing an efficient and realistic financial portfolio, as it considers many attributes such as risk, return and liquidity
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تاریخ انتشار 2013