Robust investment management with uncertainty in asset weighting by fund managers investment funds
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Robust investment management with uncertainty in asset weighting by fund managers investment funds

Document Type : Original Article

Authors
REZA faghire 1
gholamreza zomorodian 2
Majid Shariat panahi 3
Mir Feyz Fallahshams 4
1 PhD student in Financial Engineering, Faculty of Management, Islamic Azad University, Tehran Branch, Tehran, Iran
2 Assistant Professor of Management, Faculty of Management, Islamic Azad University, Central Tehran Branch, Tehran, Iran
3 Assistant Professor of Management, Faculty of Management, Allameh Tabatabai University, Tehran, Iran
4 Islamic Azad University Tehran Branch/ Finance associate professor
10.22034/jse.2020.11177
Abstract
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.
Keywords
Uncertainty
risk
return
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Quarterly Journal of Securities Exchange
Volume 13, Issue 49
Summer 2020
Pages 160-181