GOAL PROGRAMMING FOR PORTFOLIO SELECTION WITH HIGHER MOMENTS

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GHANDEHARI M.; FAGHANI F.; TABATABAEI S.M.

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Journal: Journal of Operational Research in its Applications Year:2013 | Volume:9 | Issue:4 (35) Page(s): 55-69

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Information Journal Paper

Title

GOAL PROGRAMMING FOR PORTFOLIO SELECTION WITH HIGHER MOMENTS

Author(s)

GHANDEHARI M. | FAGHANI F. | TABATABAEI S.M. | Issue Writer Certificate

Keywords

KURTOSISQ2

GOAL PROGRAMMINGQ3

SKEWNESSQ3

INVESTMENT RISKQ2

PORTFOLIO OPTIMIZATIONQ3

Abstract

Investors in their decisions to select an appropriate portfolio consider several objectives simultaneously such as the rate of return, the liquidity and the risk. These objectives may be sometimes in conflict with each other. Generally the portfolio managers seek the best combination of the stocks that meets their investment objectives. Therefore in this paper the researchers also analyzed previous research and compared optimization portfolio models, then with the help of GOAL PROGRAMMING (A model of Multi- criteria decision analysis), the model will be presented considering the objective functions as: return maximization, risk minimization, SKEWNESS portfolio returns maximization, KURTOSIS portfolio returns minimization, then the researchers being able to select the best combination of stocks. Hence the 10 first companies of 50 companies active in the Tehran Stock Exchange have been selected for the last quarter of the year 2011. The required information for each share has been calculated from TADBIR and SPSS, and then with Placement the data in the model, the model is solved using the LINGO and the investment amount per share is finally determined.

Cites

OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING

References

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APA: Copy

GHANDEHARI, M., FAGHANI, F., & TABATABAEI, S.M.. (2013). GOAL PROGRAMMING FOR PORTFOLIO SELECTION WITH HIGHER MOMENTS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 9(4 (35)), 55-69. SID. https://sid.ir/paper/164725/en

Vancouver: Copy

GHANDEHARI M., FAGHANI F., TABATABAEI S.M.. GOAL PROGRAMMING FOR PORTFOLIO SELECTION WITH HIGHER MOMENTS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2013;9(4 (35)):55-69. Available from: https://sid.ir/paper/164725/en

IEEE: Copy

M. GHANDEHARI, F. FAGHANI, and S.M. TABATABAEI, “GOAL PROGRAMMING FOR PORTFOLIO SELECTION WITH HIGHER MOMENTS,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 9, no. 4 (35), pp. 55–69, 2013, [Online]. Available: https://sid.ir/paper/164725/en

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