Portfolio optimization with robust possibilistic programming
Publish place: Iranian Journal of Finance، Vol: 3، Issue: 2
Publish Year: 1398
Type: Journal paper
Language: English
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Document National Code:
JR_IJFIFSA-3-2_003
Index date: 13 April 2022
Portfolio optimization with robust possibilistic programming abstract
one of the most important financial and investment issues is Portfolio selection, that seeks to allocate a predetermined capital (wealth) over one or multiple periods between assets and stocks in such a way that the wealth of investor (portfolio owner) is maximized and, Simultaneously, its risk minimized. In the paper, we first propose a mathematical programming model for Portfolio selection to maximize the minimum amount of Sharpe ratios of the portfolio in all periods (max-min problem). Then, due to the uncertain property of the input parameters of such a problem, a robust possibilistic programming model (based on necessity theory) has been developed, which is capable of adjusting the robust degree of output decisions to the uncertainty of the parameters. The proposed model was tested on 27 companies active in the Tehran stock market. In the end, the results of the model demonstrated the good performance of the robust possibilistic programming model.
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Portfolio optimization with robust possibilistic programming authors
Maghsoud Amiri
Prof., Faculty of Management and Accounting, Allameh Tabataba&#۰۳۹;i University, Tehran, Iran.
Mohammad Saeed Heidary
Ph.D. Candidate, Department of Financial Management, Faculty of Management and Accounting, Allameh Tabataba&#۰۳۹;i University, Tehran, Iran.
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