DEVELOPING A FUZZY MULTIBJECTIVE MODEL FOR MULTIPERIOD PORTFOLIO OPTIMAZATION CONSIDERING AVERAGE VALUE AT RISK

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SHIRI GHEHI AMIR; DIDEHKHANI HOSSEIN; Khalili Damghani Kaveh; SAEEDI PARVIZ

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:35 Page(s): 131-151

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Information Journal Paper

Title

DEVELOPING A FUZZY MULTIBJECTIVE MODEL FOR MULTIPERIOD PORTFOLIO OPTIMAZATION CONSIDERING AVERAGE VALUE AT RISK

Author(s)

SHIRI GHEHI AMIR | DIDEHKHANI HOSSEIN | Khalili Damghani Kaveh | SAEEDI PARVIZ | Issue Writer Certificate

Keywords

AVERAGE VALUE AT RISKQ1

PORTFOLIO OPTIMIZATIONQ1

MULTI-PERIOD PORTFOLIOQ1

CREDIBILITY THEORYQ1

MOPSO ALGORITHMQ1

Abstract

The purpose of the present research is to provide a multi-period PORTFOLIO OPTIMIZATION model in a fuzzy credibility environment, aimed for end-of-period wealth maximization and risk minimization. The investor’s risk was measured using the AVERAGE VALUE AT RISK (AVaR) as a coherent risk measure.The model is designed in such a way that, in addition to considering transaction costs, the investor will have the opportunity to allocate part of his wealth to a risk-free asset. In designing the model, in addition to the cardinality constraints, constraints such as the minimum “proportion entropy” (as the portfolio of diversification degree) and the expected returns of the portfolio in each period are considered.The results of the model running by MOPSO ALGORITHM indicated that the model objectives in the optimum portfolios were better suited than those when the model was run with random weights. The results also indicated that an increase in the portfolio diversification degree reduced the amount of the final wealth.

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APA: Copy

SHIRI GHEHI, AMIR, DIDEHKHANI, HOSSEIN, Khalili Damghani, Kaveh, & SAEEDI, PARVIZ. (2018). DEVELOPING A FUZZY MULTIBJECTIVE MODEL FOR MULTIPERIOD PORTFOLIO OPTIMAZATION CONSIDERING AVERAGE VALUE AT RISK. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(35 ), 131-151. SID. https://sid.ir/paper/197708/en

Vancouver: Copy

SHIRI GHEHI AMIR, DIDEHKHANI HOSSEIN, Khalili Damghani Kaveh, SAEEDI PARVIZ. DEVELOPING A FUZZY MULTIBJECTIVE MODEL FOR MULTIPERIOD PORTFOLIO OPTIMAZATION CONSIDERING AVERAGE VALUE AT RISK. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(35 ):131-151. Available from: https://sid.ir/paper/197708/en

IEEE: Copy

AMIR SHIRI GHEHI, HOSSEIN DIDEHKHANI, Kaveh Khalili Damghani, and PARVIZ SAEEDI, “DEVELOPING A FUZZY MULTIBJECTIVE MODEL FOR MULTIPERIOD PORTFOLIO OPTIMAZATION CONSIDERING AVERAGE VALUE AT RISK,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 35 , pp. 131–151, 2018, [Online]. Available: https://sid.ir/paper/197708/en

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