USING MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO) ALGORITHMS TO SOLVE A MULTI-PERIOD MEAN-SEMIVARIANCE-SKEWNESS STOCHASTIC OPTIMIZATION MODEL

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MUSHAKHIAN SIAMAK; NAJAFI AMIR ABBAS

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:23 Page(s): 133-147

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Title

USING MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO) ALGORITHMS TO SOLVE A MULTI-PERIOD MEAN-SEMIVARIANCE-SKEWNESS STOCHASTIC OPTIMIZATION MODEL

Author(s)

MUSHAKHIAN SIAMAK | NAJAFI AMIR ABBAS | Issue Writer Certificate

Keywords

MULTI-STAGE PORTFOLIO OPTIMIZATIONQ2

MEAN-SEMIVARIANCE-SKEWNESSQ2

SCENARIO TREEQ2

TRANSACTION COSTQ1

MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO)Q2

Abstract

Financial optimization is one of the most attractive areas in decision-making under uncertainty. Portfolio selection problem is a classical financial problem but it relies on three restrictive assumptions. In this paper, we propose the multi-stage MEAN-SEMIVARIANCE-SKEWNESS portfolio optimization problem under TRANSACTION COST. Solving the MULTI-STAGE PORTFOLIO OPTIMIZATION problem is very challenging due to nonlinearity of the problem. Having modeled the problem, both particle swarm optimization and multi objective particle swarm optimization (MOPSO) algorithm are utilized to solve the presented model. Finally, some numerical examples are given to illustrate the effectiveness of the proposed approach and the feasibility of the MOPSO algorithm.

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APA: Copy

MUSHAKHIAN, SIAMAK, & NAJAFI, AMIR ABBAS. (2015). USING MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO) ALGORITHMS TO SOLVE A MULTI-PERIOD MEAN-SEMIVARIANCE-SKEWNESS STOCHASTIC OPTIMIZATION MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(23), 133-147. SID. https://sid.ir/paper/197614/en

Vancouver: Copy

MUSHAKHIAN SIAMAK, NAJAFI AMIR ABBAS. USING MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO) ALGORITHMS TO SOLVE A MULTI-PERIOD MEAN-SEMIVARIANCE-SKEWNESS STOCHASTIC OPTIMIZATION MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(23):133-147. Available from: https://sid.ir/paper/197614/en

IEEE: Copy

SIAMAK MUSHAKHIAN, and AMIR ABBAS NAJAFI, “USING MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION (MOPSO) ALGORITHMS TO SOLVE A MULTI-PERIOD MEAN-SEMIVARIANCE-SKEWNESS STOCHASTIC OPTIMIZATION MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 23, pp. 133–147, 2015, [Online]. Available: https://sid.ir/paper/197614/en

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