A Single Period Multi Objective Mathematical Model for Portfolio
Optimal portfolio selection and how to invest in, is one of the key issues which is considered in the capital market and should be paid attention by investors. In this regard, investors studies in selecting optimal portfolio accords to risk and return level. What has been done in the field of financ...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2015-01-01
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| Series: | مدیریت تولید و عملیات |
| Subjects: | |
| Online Access: | http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-65-3&slc_lang=en&sid=1 |
| Summary: | Optimal portfolio selection and
how to invest in, is one of the key issues which is considered in the capital
market and should be paid attention by investors. In this regard, investors
studies in selecting optimal portfolio accords to risk and return level. What
has been done in the field of financial calculations and portfolio selection
should prioritize existing investments in terms of risk and return
respectively, until investors be able to constitute their optimal portfolio
according to the finance and their level of risk-taking. Hence, measuring risk
is considered as a major issue in the investment of portfolio. So in this
research which was done in a capital market of Iran, it is presented a multi
objective single - period mathematical model for measuring the risk of
portfolio which integrates measure of return and two measures of risk (semivariance, Cvar). This model enables
investors to measure the risk of portfolio carefully under transactions cost constrains
and invest in a portfolio with maximum rate of return and minimum rate of risk
Results show that using integraed risk measure can increase the carefulness of
investors in capital market for optimal portfolio selection. |
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| ISSN: | 2251-6409 2423-6950 |