SOLVING THE MULTI-STAGE PORTFOLIO OPTIMIZATION PROBLEM WITH GENETIC ALGORITHM

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NAJAFI AMIR ABBAS; MUSHAKHIAN SIAMAK

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 13-31

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Information Journal Paper

Title

SOLVING THE MULTI-STAGE PORTFOLIO OPTIMIZATION PROBLEM WITH GENETIC ALGORITHM

Author(s)

NAJAFI AMIR ABBAS | MUSHAKHIAN SIAMAK | Issue Writer Certificate

Keywords

MULTI-STAGE PORTFOLIO OPTIMIZATIONQ2

STOCHASTIC OPTIMIZATIONQ2

MEAN-SEMIVARIANCE-CVARQ1

SCENARIO TREEQ2

TRANSACTION COSTQ2

GENETIC ALGORITHMQ2

Abstract

Financial optimization is one of the most attractive areas in decisionmaking under uncertainty. Portfolio selection problem is a classical financial problem but it relies on three restrictive assumptions. First, the investor is myopic and maximizes a single-period utility. Second, financial market is frictionless. Third, the investor knows the exact parameters that capture asset price dynamics. In this paper, we propose and solve a model to conquer the mentioned assumptions and approach to the real world. Therefore we propose an approach for solving the multistage MEAN-SEMIVARIANCE-CVAR portfolio optimization problem under TRANSACTION COST with GENETIC ALGORITHM. The model was tested on a dataset drawn from the Tehran Stock Exchange (TSE) and we used the monthly returns of the 24 stocks derived throughout the period January 2009 to July 2013 as the inputs of the model. Results indicate that this algorithm is suitable and efficient for these kinds of problems.

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APA: Copy

NAJAFI, AMIR ABBAS, & MUSHAKHIAN, SIAMAK. (2015). SOLVING THE MULTI-STAGE PORTFOLIO OPTIMIZATION PROBLEM WITH GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 13-31. SID. https://sid.ir/paper/197686/en

Vancouver: Copy

NAJAFI AMIR ABBAS, MUSHAKHIAN SIAMAK. SOLVING THE MULTI-STAGE PORTFOLIO OPTIMIZATION PROBLEM WITH GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):13-31. Available from: https://sid.ir/paper/197686/en

IEEE: Copy

AMIR ABBAS NAJAFI, and SIAMAK MUSHAKHIAN, “SOLVING THE MULTI-STAGE PORTFOLIO OPTIMIZATION PROBLEM WITH GENETIC ALGORITHM,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 13–31, 2015, [Online]. Available: https://sid.ir/paper/197686/en

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