A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures

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Shiri Ghahi Amir; Didehkhani Hosein; Khalili Damghani Kaveh; SAEEDI PARVIZ

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2017 | Volume:5 | Issue:3 (18) Page(s): 1-26

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Title

A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures

Author(s)

Shiri Ghahi Amir | Didehkhani Hosein | Khalili Damghani Kaveh | SAEEDI PARVIZ | Issue Writer Certificate

Keywords

Portfolio OptimizationQ2

Fuzzy Credibility TheoryQ2

riskQ2

MOPSO AlgorithmQ2

Abstract

The purpose of the present research is to compare Portfolio Optimization models in a fuzzy credibility environment, aimed for end-of-period wealth maximization and risk minimization. The investor’ s risk was measured using the Value at risk (VaR), Average Value at risk (AVaR) and semi Entropy. In order to get closer to the real world investment model, while allowing for transaction costs and investing part of wealth in risk-free assets, in addition to the cardinal constraints, other constraints including the minimum and maximum amount of wealth assigned to each asset, and the minimum and maximum number of stocks present in portfolio were applied. The results of the multi-period models running by MOPSO Algorithm indicated for the models Mean-AVaR, Mean-Semi Entropy, and Mean-VaR, respectively, performed better, in terms of Sharp and Treynor measures.

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APA: Copy

Shiri Ghahi, Amir, Didehkhani, Hosein, Khalili Damghani, Kaveh, & SAEEDI, PARVIZ. (2017). A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 5(3 (18) ), 1-26. SID. https://sid.ir/paper/261655/en

Vancouver: Copy

Shiri Ghahi Amir, Didehkhani Hosein, Khalili Damghani Kaveh, SAEEDI PARVIZ. A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2017;5(3 (18) ):1-26. Available from: https://sid.ir/paper/261655/en

IEEE: Copy

Amir Shiri Ghahi, Hosein Didehkhani, Kaveh Khalili Damghani, and PARVIZ SAEEDI, “A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 5, no. 3 (18) , pp. 1–26, 2017, [Online]. Available: https://sid.ir/paper/261655/en

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