PORTFOLIO SELECTION USING A MULTI OBJECTIVE -SINGLE PERIOD MODEL UNDER PROBABLE CONSTRAINT IN IRAN CAPITAL MARKET

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NABAVI CHASHAMI S.A.; DADASHPOOR OMRANI A.

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

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:3 | Issue:13 Page(s): 73-89

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Information Journal Paper

Title

PORTFOLIO SELECTION USING A MULTI OBJECTIVE -SINGLE PERIOD MODEL UNDER PROBABLE CONSTRAINT IN IRAN CAPITAL MARKET

Author(s)

NABAVI CHASHAMI S.A. | DADASHPOOR OMRANI A. | Issue Writer Certificate

Keywords

RISK MEASUREMENTQ2

PORTFOLIOQ2

PROBABLE CONSTRAINTQ2

TRADING COSTSQ2

MULTI OBJECTIVE PROGRAMMINGQ2

SEMI VARIANCEQ2

ABSOLUTE DEVIATIONQ2

Abstract

One of the important issues in the capital markets and should be considered is PORTFOLIO selection. In this regard, the investors are being studied in order to select the best PORTFOLIO with respect to risk level and the return. Nowadays, for PORTFOLIO selection investors use lots of risk measures so that these risk measures have applied with respect to KNOWLEDGE level of investors and their ability to analysis financial data. Therefore, in this study that has been conducted in the context of Iran's capital market, we provided a single period multi objective mathematical model with PROBABLE CONSTRAINT to measure PORTFOLIO's risk which combines the return measure with two risk measures (semi variance and ABSOLUTE DEVIATION). Hence, investors can accurately measure their desired PORTFOLIO's risk, considering the limitations associated with TRADING COSTS. In this way, they can achieve a PORTFOLIO with the highest return and lowest risk.

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APA: Copy

NABAVI CHASHAMI, S.A., & DADASHPOOR OMRANI, A.. (2013). PORTFOLIO SELECTION USING A MULTI OBJECTIVE -SINGLE PERIOD MODEL UNDER PROBABLE CONSTRAINT IN IRAN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(13), 73-89. SID. https://sid.ir/paper/197777/en

Vancouver: Copy

NABAVI CHASHAMI S.A., DADASHPOOR OMRANI A.. PORTFOLIO SELECTION USING A MULTI OBJECTIVE -SINGLE PERIOD MODEL UNDER PROBABLE CONSTRAINT IN IRAN CAPITAL MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;3(13):73-89. Available from: https://sid.ir/paper/197777/en

IEEE: Copy

S.A. NABAVI CHASHAMI, and A. DADASHPOOR OMRANI, “PORTFOLIO SELECTION USING A MULTI OBJECTIVE -SINGLE PERIOD MODEL UNDER PROBABLE CONSTRAINT IN IRAN CAPITAL MARKET,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 13, pp. 73–89, 2013, [Online]. Available: https://sid.ir/paper/197777/en

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