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Asian Journal of Industrial Engineering
Year: 2011  |  Volume: 3  |  Issue: 1  |  Page No.: 1 - 12

On Development of Technical Analysis Based Portfolio Optimization Models

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

Abstract: 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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