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Asian Journal of Industrial Engineering
  Year: 2011 | Volume: 3 | Issue: 1 | Page No.: 1-12
DOI: 10.3923/ajie.2011.1.12
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On Development of Technical Analysis Based Portfolio Optimization Models

M. Jasemi, A.M. Kimiagari and M. Jasemi

It has always been a significant concern for scholars to model the complex state of stock markets in the way that traders’ satisfaction improves. However, still this field suggested the need for more accurate and comprehensive models. Development of such models is difficult because of the unpredictable economic, social and political variables that surely affect the market manners. However, model developers of the field have escaped the above referred complexities by some simplifying assumptions that have resulted in their less practicability in real world. In this study, subsequent to an introduction to the field of portfolio optimization and a literature review of the investment approach of Technical Analysis (TA), capabilities of TA in improving the present status of investment models and its potentiality to address the main challenges of the field are discussed. The present study also proposes the modular structure in which TA would suppose to be helpful.
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  •    Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets
  •    Performance of Listed State-owned Enterprises using Sortino Ratio Optimization
  •    Stock Rate Prediction Using Backpropagation Algorithm: Results with Different Number of Hidden Layers
  •    An Empirical Testing of Capital Asset Pricing Model in Bangladesh
  •    Fama-French’s CAPM: An Empirical Investigation on DSE
  •    Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market
How to cite this article:

M. Jasemi, A.M. Kimiagari and M. Jasemi, 2011. On Development of Technical Analysis Based Portfolio Optimization Models. Asian Journal of Industrial Engineering, 3: 1-12.

DOI: 10.3923/ajie.2011.1.12




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