A SINGLE PERIOD MULTI OBJECTIVE MATHEMATICAL MODEL FOR PORTFOLIO

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ABZARI MEHDI; DADASHPOR AHMAD; KHALILI MEHDI; JAMSHIDI HAMID

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Journal: PRODUCTION AND OPERATIONS MANAGEMENT Year:2014 | Volume:5 | Issue:2 (9) Page(s): 75-91

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Information Journal Paper

Title

A SINGLE PERIOD MULTI OBJECTIVE MATHEMATICAL MODEL FOR PORTFOLIO

Author(s)

ABZARI MEHDI | DADASHPOR AHMAD | KHALILI MEHDI | JAMSHIDI HAMID | Issue Writer Certificate

Keywords

SEMIVARIANCE MEASUREQ2

CVAR MEASUREQ1

MULTI OBJECTIVE PROGRAMMINGQ2

PORTFOLIOQ2

TRANSACTION COSTQ2

Abstract

Optimal PORTFOLIO selection and how to invest in, is one of the key issues which is considered in the capital market and should be paid attention by investors. In this regard, investors studies in selecting optimal PORTFOLIO accords to risk and return level. What has been done in the field of financial calculations and PORTFOLIO selection should prioritize existing investments in terms of risk and return respectively, until investors be able to constitute their optimal PORTFOLIO according to the finance and their level of risk-taking. Hence, measuring risk is considered as a major issue in the investment of PORTFOLIO. So in this research which was done in a capital market of Iran, it is presented a multi objective single - period mathematical model for measuring the risk of PORTFOLIO which integrates measure of return and two measures of risk (semivariance, Cvar). This model enables investors to measure the risk of PORTFOLIO carefully under transactions cost constrains and invest in a PORTFOLIO with maximum rate of return and minimum rate of risk Results show that using integraed risk measure can increase the carefulness of investors in capital market for optimal PORTFOLIO selection.

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APA: Copy

ABZARI, MEHDI, DADASHPOR, AHMAD, KHALILI, MEHDI, & JAMSHIDI, HAMID. (2014). A SINGLE PERIOD MULTI OBJECTIVE MATHEMATICAL MODEL FOR PORTFOLIO. PRODUCTION AND OPERATIONS MANAGEMENT, 5(2 (9)), 75-91. SID. https://sid.ir/paper/217569/en

Vancouver: Copy

ABZARI MEHDI, DADASHPOR AHMAD, KHALILI MEHDI, JAMSHIDI HAMID. A SINGLE PERIOD MULTI OBJECTIVE MATHEMATICAL MODEL FOR PORTFOLIO. PRODUCTION AND OPERATIONS MANAGEMENT[Internet]. 2014;5(2 (9)):75-91. Available from: https://sid.ir/paper/217569/en

IEEE: Copy

MEHDI ABZARI, AHMAD DADASHPOR, MEHDI KHALILI, and HAMID JAMSHIDI, “A SINGLE PERIOD MULTI OBJECTIVE MATHEMATICAL MODEL FOR PORTFOLIO,” PRODUCTION AND OPERATIONS MANAGEMENT, vol. 5, no. 2 (9), pp. 75–91, 2014, [Online]. Available: https://sid.ir/paper/217569/en

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