Portfolio Selection Problem under Uncertainty: A Robust Optimization Approach
Publish Year: 1397
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
IDS03_075
تاریخ نمایه سازی: 31 اردیبهشت 1398
Abstract:
Portfolio selection (PS) is one of the most important problems in financial markets. As regards to this fact that one of the most important features of financial markets is their uncertainty, in this paper, by applying robust optimization (RO) approach, the robust portfolio selection (RPS) models that are capable to be used in the presence of uncertainty are presented. It should be noted that risk, return and liquidity are considered in proposed models. Finally, the proposed approach of the paper is implemented in a real case study of Tehran Stock Exchange (TSE). Illustrative results show that proposed approach is effective
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Authors
Pejman Peykani
Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
Emran Mohammadi
Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran