Dynamic portfolio analysis: A new model

Traditional portfolio optimization problem constitutes an investment plan with a reasonable choice between risk and profit range. Numerous models have been designed for this problem. In this thesis, portfolio choice models in modern portfolio theory and mathematical porfolio optimization models will be analyzed. Stable Porfolio Theory, based on the idea that the stock returns fit the stable distributions, will be also described. Exponential Smoothing Models, which weigth the data to update the time series, will be examined according to the type of the models. Morever, a new portfolio optimization model, which aims to use the advantages of exponential smoothing models in financial data, will be proposed and the new model and existing mathematical programming models will be compared. Key Words : Portfolio optimization, exponential smoothing, MMAD model