Research Paper; Optimal and Investable Portfolios

Prof. Mazin A. M. Al Janabi (Professor of Finance and Banking, Departemnet of Econmics and Finance, CBE) has  recently published a research paper on investment management and micostructures of the Gulf Cooperation Council (GCC) Stock Markets in the renowned journal: Economic Modelling, which is published by the prominent publisher, ELSEVIER. The paper is entitled:

Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

Highlights of the Research Paper:

1. We develop optimization algorithms for investable portfolios under crisis outlooks.

2. Developed algorithms can aid in advancing portfolio management in financial markets.

3. We test optimum and investable portfolios subject to meaningful financial constraints.

4. Empirical results show that investable portfolios lie off the efficient frontier.

5. Investable portfolios cannot be achieved via Markowitz's classical portfolio approach.