Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange

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Ramooz Najmeh; Akbari Aqmashhadi Zahra; ATEFATDOOST ALIREZA

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2020 | Volume:8 | Issue:28 Page(s): 21-37

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Title

Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange

Author(s)

Ramooz Najmeh | Akbari Aqmashhadi Zahra | ATEFATDOOST ALIREZA | Issue Writer Certificate

Keywords

Optimum PortfolioQ1

Compromise-programming ModelQ1

Compromise setQ1

Optimum of Utility FunctionsQ1

Abstract

Various models on how investors choose the most Optimum Portfolio have been introduced. Majority of such models complete the process of choosing by a set of the available portfolios provided on􀀃 the􀀃 efficient􀀃 frontier. 􀀃 At􀀃 best, 􀀃 by􀀃 extracting􀀃 utility􀀃 function􀀃 based􀀃 on􀀃 the􀀃 investors’ 􀀃 preference through interactive dialogues, then the Optimum Portfolio according the financial situations and mental and behavioral characteristics was determined. Notably, in practice, this is very difficult for the possible differences in the utility functions. These problems distinguish the role of the Compromise-programming Model and the unique abilities of Compromise set as one of the available models in the multi-criteria decisionmaking in choosing optimal portfolio. In current research, 20 active companies in Tehran exchange market during 2015-2018 period were selected. After determining the sum of the absolute difference of safety and profitability index of optimizing investing utility functions with direct method and its comparison with the results of Compromise set method, the research hypothesis accepted.

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APA: Copy

Ramooz, Najmeh, Akbari Aqmashhadi, Zahra, & ATEFATDOOST, ALIREZA. (2020). Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(28 ), 21-37. SID. https://sid.ir/paper/385804/en

Vancouver: Copy

Ramooz Najmeh, Akbari Aqmashhadi Zahra, ATEFATDOOST ALIREZA. Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2020;8(28 ):21-37. Available from: https://sid.ir/paper/385804/en

IEEE: Copy

Najmeh Ramooz, Zahra Akbari Aqmashhadi, and ALIREZA ATEFATDOOST, “Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 28 , pp. 21–37, 2020, [Online]. Available: https://sid.ir/paper/385804/en

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