DESIGNING A MULTI-OBJECTIVE STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

SHARIFISALIM ALIREZA; MOMENI MANSOUR; Modarres Yazdi Mohammad; RAYI REZA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Industrial Management Journal Year:2015 | Volume:7 | Issue:3 Page(s): 489-510

Download Full-Text

Persian Verion

View:

1,346

Download:

Cites:

Information Journal Paper

Title

DESIGNING A MULTI-OBJECTIVE STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION

Author(s)

SHARIFISALIM ALIREZA | MOMENI MANSOUR | Modarres Yazdi Mohammad | RAYI REZA | Issue Writer Certificate

Keywords

CHANCE CONSTRAINED PROGRAMMINGQ2

CHANCE CONSTRAINED COMPROMISE PROGRAMMINGQ1

COMPROMISE PROGRAMMINGQ2

PORTFOLIO SELECTIONQ2

Abstract

In traditional PORTFOLIO SELECTION model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. So decision maker cannot estimate them exactly. Financial optimization is one of the most attractive areas in decision under uncertainty. In the PORTFOLIO SELECTION problem the Decision Maker considers simultaneously conflicting objectives such as rate of return, liquidity, Dividend and risk. Multi-objective programming techniques such as goal programming and COMPROMISE PROGRAMMING are used to choose the portfolio best satisfying the Decision Maker’s aspirations and preferences; additionally Multi Criteria Decision Making (MCDM) Techniques for dealing with PORTFOLIO SELECTION have been used. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a COMPROMISE PROGRAMMING/fa?page=1&sort=1&ftyp=all&fgrp=all&fyrs=all" target="_blank"> CHANCE CONSTRAINED COMPROMISE PROGRAMMING model is based on COMPROMISE PROGRAMMING and CHANCE CONSTRAINED PROGRAMMING models as a deterministic transformation to multi-objective stochastic programming portfolio model. To determine the share of industry investment planning MCDM were used. The result of the planning model for PORTFOLIO SELECTION in Tehran Stock Exchange is shown.

Cites

No record.

References

No record.

Cite

APA: Copy

SHARIFISALIM, ALIREZA, MOMENI, MANSOUR, Modarres Yazdi, Mohammad, & RAYI, REZA. (2015). DESIGNING A MULTI-OBJECTIVE STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION. JOURNAL OF INDUSTRIAL MANAGEMENT, 7(3 ), 489-510. SID. https://sid.ir/paper/139969/en

Vancouver: Copy

SHARIFISALIM ALIREZA, MOMENI MANSOUR, Modarres Yazdi Mohammad, RAYI REZA. DESIGNING A MULTI-OBJECTIVE STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION. JOURNAL OF INDUSTRIAL MANAGEMENT[Internet]. 2015;7(3 ):489-510. Available from: https://sid.ir/paper/139969/en

IEEE: Copy

ALIREZA SHARIFISALIM, MANSOUR MOMENI, Mohammad Modarres Yazdi, and REZA RAYI, “DESIGNING A MULTI-OBJECTIVE STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION,” JOURNAL OF INDUSTRIAL MANAGEMENT, vol. 7, no. 3 , pp. 489–510, 2015, [Online]. Available: https://sid.ir/paper/139969/en

Related Journal Papers