Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange

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Ranjbari Vahid Mohammad Hosein; SADEGHI SHARIF SEYED JALAL; EIVAZLU REZA; MEHRARA MOHSEN

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 313-332

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Title

Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange

Author(s)

Ranjbari Vahid Mohammad Hosein | SADEGHI SHARIF SEYED JALAL | EIVAZLU REZA | MEHRARA MOHSEN | Issue Writer Certificate

Keywords

Robust ProgrammingQ1

PortfolioQ1

CVARQ1

Active ManagementQ1

UncertaintyQ1

Abstract

Based on Markowitz theory of Portfolio optimization, capital market is not predictable by any methods and the risk can only be diversified through Portfolio formation and optimization. Recent works made huge developments in the basic model from modeling and risk measures perspectives. Spectral risk measures such as expected shortfall and value at risk are being used frequently as risk measures. In addition, researchers tend to consider Uncertainty in risk and return evaluation via fuzzy, stochastic and robust modeling. However, a matter that has been neglected in many researches is Portfolio management under Uncertainty conditions. This paper propose a method for robust modeling of Portfolio optimization and management using expected shortfall as risk measure and Bertsimas modeling as Robust Programming. The proposed model solved with artificial bee colony algorithm and results show a better performance of proposed model compared to classic methods in both the optimal Portfolio formation and its management phase.

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APA: Copy

Ranjbari Vahid, Mohammad Hosein, SADEGHI SHARIF, SEYED JALAL, EIVAZLU, REZA, & MEHRARA, MOHSEN. (2020). Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 313-332. SID. https://sid.ir/paper/364893/en

Vancouver: Copy

Ranjbari Vahid Mohammad Hosein, SADEGHI SHARIF SEYED JALAL, EIVAZLU REZA, MEHRARA MOHSEN. Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):313-332. Available from: https://sid.ir/paper/364893/en

IEEE: Copy

Mohammad Hosein Ranjbari Vahid, SEYED JALAL SADEGHI SHARIF, REZA EIVAZLU, and MOHSEN MEHRARA, “Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 313–332, 2020, [Online]. Available: https://sid.ir/paper/364893/en

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