Title of talk: A two-phase portfolio optimization approach using technical analysis.
Speaker: Ahmad Zaman Khan, Department of Operational Research, University of Delhi.
Venue: IEOR Seminar Hall, Second Floor, IEOR Building.
Day, Date and Time: Monday, August 29, 2022, 10 AM to 11 AM.
Abstract: An accurate prediction of asset prices is perhaps the biggest challenge of any study in portfolio optimization. Asset prices are affected by several random and non-random factors, which makes them difficult to forecast. In this talk, I will discuss a two‐phase dynamic portfolio optimization approach. In the first phase, assets are clustered into buy, sell, and hold groups based on technical indicators using a Fuzzy c-means clustering algorithm. I will describe a methodology to integrate the investor attitude (optimistic, pessimistic, or neutral) during the clustering phase. In the second phase, the clustered groups are fed to a portfolio optimization model to obtain the optimum asset allocations. The portfolio optimization model uses coherent fuzzy numbers to simultaneously model the asset returns and integrate the investor attitude in this phase. The model employs certain constraints to incorporate the clustering information. The optimization model is solved using a genetic algorithm. I will also discuss specific changes to be made in the genetic algorithm to take advantage of the clustering information for faster convergence. The portfolios are rebalanced (i.e., updated) at regular intervals as new data becomes available. I will also discuss the application of the proposed methodology on a 100‐asset problem of the US stock market.
This research was a joint effort with Dr. Mukesh Kumar Mehlawat, Associate Professor, Department of Operational Research, University of Delhi.
Speaker Bio: Ahmad completed his Ph.D. in Operational Research from the Department of Operational Research, the University of Delhi, under the supervision of Prof. Dr. Pankaj Gupta and Dr. Mukesh Kumar Mehlawat. He has published six research papers in various SCI-indexed journals such as Expert Systems with Applications, International Journal of Intelligent Systems, Information Sciences, and Applied Intelligence. His research interests include Portfolio optimization, Multi-criteria decision-making, Fuzzy set theory, Grey relational analysis, Technical analysis, and Evolutionary algorithms. Prior to his Ph.D., he worked as a business analyst in EXL Gurgaon. He completed his MSc. in Operational Research and BSc. (H) in Mathematics from the University of Delhi.