A PORTFOLIO OPTIMIZATION MODEL FOR A PRIVATE EQUITY INVESTMENT COMPANY UNDER DATA INSUFFICIENCY CONDITION WITH AN ARTIFICIAL BEE COLONY META-HEURISTIC APPROACH

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.

RAHNAMAYE ROODPOSHTI FEREYDOON; SADEH EHSAN; FALLAHSHAMS MIRFEIZ; EHTESHAM RASI REZA; JALILIAN JAMIL

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

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:35 Page(s): 77-104

Download Full-Text

Persian Verion

View:

889

Download:

Cites:

Information Journal Paper

Title

A PORTFOLIO OPTIMIZATION MODEL FOR A PRIVATE EQUITY INVESTMENT COMPANY UNDER DATA INSUFFICIENCY CONDITION WITH AN ARTIFICIAL BEE COLONY META-HEURISTIC APPROACH

Author(s)

Keywords

PORTFOLIO OPTIMIZATIONQ1

PRIVATE EQUITY INVESTMENTQ2

SIMULATION WITH INSUFFICIENT DATAQ1

ABC ALGORITHMQ1

Abstract

Different investors with different investment levels have a goal in common which is to reach a portfolio of assets which further to meeting the expected rate of return would have the least possible level of risk. In this study we aim to help an investment company to determine an optimized combination of assets containing the stocks of its subsidiary companies as well as other lower risk assets. One of the main challenges in investing in private companies’ stocks, is the lack of data related to their return and risk compared with public companies. In this paper we apply a simulation approach which is able to generate valid random numbers in data insufficiency condition to calculate the return and the risk of the private assets. Furthermore, defining the problem as a bi-objective optimization problem and regarding the fact that portfolio selection is an NP-Hard problem, we use a multi-objective covariance-based artificial bee colony algorithm to solve our problem. The results show that efficient portfolios are the ones have both high risk and low risk assets simultaneously.

Cites

No record.

References

No record.

Cite

APA: Copy

RAHNAMAYE ROODPOSHTI, FEREYDOON, SADEH, EHSAN, FALLAHSHAMS, MIRFEIZ, EHTESHAM RASI, REZA, & JALILIAN, JAMIL. (2018). A PORTFOLIO OPTIMIZATION MODEL FOR A PRIVATE EQUITY INVESTMENT COMPANY UNDER DATA INSUFFICIENCY CONDITION WITH AN ARTIFICIAL BEE COLONY META-HEURISTIC APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(35 ), 77-104. SID. https://sid.ir/paper/197700/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI FEREYDOON, SADEH EHSAN, FALLAHSHAMS MIRFEIZ, EHTESHAM RASI REZA, JALILIAN JAMIL. A PORTFOLIO OPTIMIZATION MODEL FOR A PRIVATE EQUITY INVESTMENT COMPANY UNDER DATA INSUFFICIENCY CONDITION WITH AN ARTIFICIAL BEE COLONY META-HEURISTIC APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(35 ):77-104. Available from: https://sid.ir/paper/197700/en

IEEE: Copy

FEREYDOON RAHNAMAYE ROODPOSHTI, EHSAN SADEH, MIRFEIZ FALLAHSHAMS, REZA EHTESHAM RASI, and JAMIL JALILIAN, “A PORTFOLIO OPTIMIZATION MODEL FOR A PRIVATE EQUITY INVESTMENT COMPANY UNDER DATA INSUFFICIENCY CONDITION WITH AN ARTIFICIAL BEE COLONY META-HEURISTIC APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 35 , pp. 77–104, 2018, [Online]. Available: https://sid.ir/paper/197700/en

Related Journal Papers