Sampling methods for investment portfolio formulation procedure at increased market volatility

Abstract

Aim/purpose – In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial instruments formulation procedure at an increased market volatility.

Keywords

• investment decisions
• optimization techniques
• portfolio selection
• statistical simulation methods
• c150
• c610
• g110