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 |
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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 |
| _version_ | 1797765354509828096 |
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| author | mehdi abzari ahmad dadashpor mehdi khalili hamid jamshidi |
| author_facet | mehdi abzari ahmad dadashpor mehdi khalili hamid jamshidi |
| author_sort | mehdi abzari |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-12T20:10:00Z |
| format | Article |
| id | doaj.art-b6e1cd27cf3f4a1395c155ee270b8790 |
| institution | Directory Open Access Journal |
| issn | 2251-6409 2423-6950 |
| language | fas |
| last_indexed | 2024-03-12T20:10:00Z |
| publishDate | 2015-01-01 |
| publisher | University of Isfahan |
| record_format | Article |
| series | مدیریت تولید و عملیات |
| spelling | doaj.art-b6e1cd27cf3f4a1395c155ee270b87902023-08-02T01:51:05ZfasUniversity of Isfahanمدیریت تولید و عملیات2251-64092423-69502015-01-01529275A Single Period Multi Objective Mathematical Model for Portfoliomehdi abzari0ahmad dadashpor1mehdi khalili2hamid jamshidi3 esfehan niversity reja ghazvin university olom va fonon mazandaran esfehan niversity 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.http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-65-3&slc_lang=en&sid=1semivariance measure CVar measure multi objective programming portfolio transaction cost |
| spellingShingle | mehdi abzari ahmad dadashpor mehdi khalili hamid jamshidi A Single Period Multi Objective Mathematical Model for Portfolio مدیریت تولید و عملیات semivariance measure CVar measure multi objective programming portfolio transaction cost |
| title | A Single Period Multi Objective Mathematical Model for Portfolio |
| title_full | A Single Period Multi Objective Mathematical Model for Portfolio |
| title_fullStr | A Single Period Multi Objective Mathematical Model for Portfolio |
| title_full_unstemmed | A Single Period Multi Objective Mathematical Model for Portfolio |
| title_short | A Single Period Multi Objective Mathematical Model for Portfolio |
| title_sort | single period multi objective mathematical model for portfolio |
| topic | semivariance measure CVar measure multi objective programming portfolio transaction cost |
| url | http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-65-3&slc_lang=en&sid=1 |
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