USING GENETIC ALGORITHMS FOR A PORTFOLIO SELECTION REGARDING TO NONLINEAR GOALS (TEHRAN STOCK EXCHANGE)

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.

REZAEI PANDARI ABBAS; AZAR ADEL; RAYATI SHAVAZI ALIREZA

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

Journal Paper

Paper Information

Journal: Iranian Journal of Economic Research Year:2011 | Volume:16 | Issue:48 Page(s): 109-134

Download Full-Text

Persian Verion

View:

1,163

Download:

Cites:

Information Journal Paper

Title

USING GENETIC ALGORITHMS FOR A PORTFOLIO SELECTION REGARDING TO NONLINEAR GOALS (TEHRAN STOCK EXCHANGE)

Author(s)

REZAEI PANDARI ABBAS | AZAR ADEL | RAYATI SHAVAZI ALIREZA | Issue Writer Certificate

Keywords

GENETIC ALGORITHMSQ2

NONLINEAR OBJECTIVEQ2

RETURNQ2

RISKQ2

PORTFOLIO SELECTIONQ2

Abstract

Generally, investors consider simultaneously conflicting objectives such as rate of RETURN, RISK and liquidity in PORTFOLIO SELECTION. On the other hand, every investor has his own specific preferences about objectives. Therefore, we can use Multi Objective Decion Making (MODM) techniques in order to solve PORTFOLIO SELECTION problem. The Studies shows that a MODM technique by nonlinear goals such as minimization of nonsystematic RISK and skewness maximization isn't employed for PORTFOLIO SELECTION, so a new approach is applied. We employ MODM model to select a best portfolio in 50 superior companies in Tehran stock exchange with regards to optimization objectives of RETURN, systematic RISK, nonsystematic RISK, skewness, liquidity and sharp ratio. This model is non-convexed, so operational research algorithms can not find the best solution, therefore we use GENETIC ALGORITHMS (GA) for achieving nonlinear multi-objective model. In the end, the result of GA is comprised with Markwitz classic model and goal programming (containing linear and NONLINEAR OBJECTIVEs). The comparison indicates that although RETURN of the portfolio of GA model is less than the other models, but GA has the best results in decreasing RISK criteria which completely cover the RETURN and lead to best results. The other advantage of using GA is a higher diversification in its proposed portfolio in comparison with other models.

Cites

APPLYING THE LINEAR GENETIC ALGORITHM AND NON-LINEAR GENETIC TO INCREASING THE EFFICIENCY OF PREDICTING CORPORATE PROFITABILITY

References

Cite

APA: Copy

REZAEI PANDARI, ABBAS, AZAR, ADEL, & RAYATI SHAVAZI, ALIREZA. (2011). USING GENETIC ALGORITHMS FOR A PORTFOLIO SELECTION REGARDING TO NONLINEAR GOALS (TEHRAN STOCK EXCHANGE). IRANIAN ECONOMIC RESEARCH, 16(48), 109-134. SID. https://sid.ir/paper/2770/en

Vancouver: Copy

REZAEI PANDARI ABBAS, AZAR ADEL, RAYATI SHAVAZI ALIREZA. USING GENETIC ALGORITHMS FOR A PORTFOLIO SELECTION REGARDING TO NONLINEAR GOALS (TEHRAN STOCK EXCHANGE). IRANIAN ECONOMIC RESEARCH[Internet]. 2011;16(48):109-134. Available from: https://sid.ir/paper/2770/en

IEEE: Copy

ABBAS REZAEI PANDARI, ADEL AZAR, and ALIREZA RAYATI SHAVAZI, “USING GENETIC ALGORITHMS FOR A PORTFOLIO SELECTION REGARDING TO NONLINEAR GOALS (TEHRAN STOCK EXCHANGE),” IRANIAN ECONOMIC RESEARCH, vol. 16, no. 48, pp. 109–134, 2011, [Online]. Available: https://sid.ir/paper/2770/en

Related Journal Papers