Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria
AbstractIn this paper, some of the challenges of portfolio optimization are discussed simultaneously. So that the fuzzy multi-objective programming model was used to consider the multi-criteria nature of stock selection and the lack of correlation with the return on assets. Also, due to the weakness...
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| Format: | Article |
| Language: | fas |
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Alzahra University
2023-03-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | https://jfm.alzahra.ac.ir/article_6824_3d1c09ae15d4a9a56297e35229a27ff9.pdf |
| _version_ | 1811154288820355072 |
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| author | Sara Beykjani Hosein Didehkhani |
| author_facet | Sara Beykjani Hosein Didehkhani |
| author_sort | Sara Beykjani |
| collection | DOAJ |
| description | AbstractIn this paper, some of the challenges of portfolio optimization are discussed simultaneously. So that the fuzzy multi-objective programming model was used to consider the multi-criteria nature of stock selection and the lack of correlation with the return on assets. Also, due to the weaknesses of traditional risk measures such as variance for risk assessment of the investor, the criterion of value at risk was replaced as a coherent risk criterion with the fuzzy credit theory approach. On the other hand, in this research, ZAPROS III method was used to interfere with investors' subjective opinions and judgments, and by considering the formal index of quality (FIQ), the views of investors in portfolio optimization were considered. In designing the model, in addition to the main constraints, limitations such as the minimum and maximum allocation of wealth to each asset, as well as the minimum and maximum number of stocks in the portfolio are considered. To demonstrate the applicability of the developed model, 10 of the more active companies accepted in Tehran Stock Exchange were used. The results of model implementation using the MOPSO algorithm showed that optimal pareto-optimized models of model execution compared to randomly assigned portfolios have better and more favorable performance in terms of achievement of predetermined goals. |
| first_indexed | 2024-04-10T04:14:16Z |
| format | Article |
| id | doaj.art-d43ae702d7004996b8d4354c13cd4eaa |
| institution | Directory Open Access Journal |
| issn | 2345-3214 2538-1962 |
| language | fas |
| last_indexed | 2024-04-10T04:14:16Z |
| publishDate | 2023-03-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | راهبرد مدیریت مالی |
| spelling | doaj.art-d43ae702d7004996b8d4354c13cd4eaa2023-03-12T10:16:37ZfasAlzahra Universityراهبرد مدیریت مالی2345-32142538-19622023-03-0111121123010.22051/jfm.2019.25913.20746824Developing an Integrated Model for Portfolio Optimization Considering Quantitative CriteriaSara Beykjani0Hosein Didehkhani1Student, Department of Industrial Engineering, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, IranAssistant Professor, Department of Industrial Engineering, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, IranAbstractIn this paper, some of the challenges of portfolio optimization are discussed simultaneously. So that the fuzzy multi-objective programming model was used to consider the multi-criteria nature of stock selection and the lack of correlation with the return on assets. Also, due to the weaknesses of traditional risk measures such as variance for risk assessment of the investor, the criterion of value at risk was replaced as a coherent risk criterion with the fuzzy credit theory approach. On the other hand, in this research, ZAPROS III method was used to interfere with investors' subjective opinions and judgments, and by considering the formal index of quality (FIQ), the views of investors in portfolio optimization were considered. In designing the model, in addition to the main constraints, limitations such as the minimum and maximum allocation of wealth to each asset, as well as the minimum and maximum number of stocks in the portfolio are considered. To demonstrate the applicability of the developed model, 10 of the more active companies accepted in Tehran Stock Exchange were used. The results of model implementation using the MOPSO algorithm showed that optimal pareto-optimized models of model execution compared to randomly assigned portfolios have better and more favorable performance in terms of achievement of predetermined goals.https://jfm.alzahra.ac.ir/article_6824_3d1c09ae15d4a9a56297e35229a27ff9.pdfmulti-objective optimization of portfoliocredit theoryzapros iii methodmopso algorithm |
| spellingShingle | Sara Beykjani Hosein Didehkhani Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria راهبرد مدیریت مالی multi-objective optimization of portfolio credit theory zapros iii method mopso algorithm |
| title | Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria |
| title_full | Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria |
| title_fullStr | Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria |
| title_full_unstemmed | Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria |
| title_short | Developing an Integrated Model for Portfolio Optimization Considering Quantitative Criteria |
| title_sort | developing an integrated model for portfolio optimization considering quantitative criteria |
| topic | multi-objective optimization of portfolio credit theory zapros iii method mopso algorithm |
| url | https://jfm.alzahra.ac.ir/article_6824_3d1c09ae15d4a9a56297e35229a27ff9.pdf |
| work_keys_str_mv | AT sarabeykjani developinganintegratedmodelforportfoliooptimizationconsideringquantitativecriteria AT hoseindidehkhani developinganintegratedmodelforportfoliooptimizationconsideringquantitativecriteria |