MATHEMATICAL TWO-STAGE APPROACH IN PORTFOLIO OPTIMIZATION

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KHODAMORADI SAEED; TORABI GOODARZI MOHAMMAD; RAEI EZABADI MOHAMMAD EBRAHIM

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:14 Page(s): 0-0

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Information Journal Paper

Title

MATHEMATICAL TWO-STAGE APPROACH IN PORTFOLIO OPTIMIZATION

Author(s)

KHODAMORADI SAEED | TORABI GOODARZI MOHAMMAD | RAEI EZABADI MOHAMMAD EBRAHIM | Issue Writer Certificate

Keywords

FUNDAMENTAL ANALYSISQ2

PORTFOLIO SELECTIONQ2

ANALYTICAL HIERARCHY PROCESSQ2

GOAL LINEAR PROGRAMMINGQ2

MODELQ2

Abstract

The process of PORTFOLIO SELECTION is a subject that many researchers focus on it. Different criteria that affect this process change during the time and this situation make it important use suitable investment decisions support tool. In this paper, by using a multi-stage mathematical MODEL, a new method is provided for solving stock selection problem according to FUNDAMENTAL ANALYSIS approach. First, we determine the priority of factors affecting industries selection by using ANALYTICAL HIERARCHY PROCESS and then by solving a linear programming MODEL, the weights of each industry is determined according to the common constraints and output of ANALYTICAL HIERARCHY PROCESS approach. Finally, by using goal programming MODEL, the weights of stock in each industry is determined. In this paper, in order to validating the presented MODEL, we test it by real data. The results show that the presented MODEL can lead to select a portfolio with higher return.

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APA: Copy

KHODAMORADI, SAEED, TORABI GOODARZI, MOHAMMAD, & RAEI EZABADI, MOHAMMAD EBRAHIM. (2013). MATHEMATICAL TWO-STAGE APPROACH IN PORTFOLIO OPTIMIZATION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(14), 0-0. SID. https://sid.ir/paper/405916/en

Vancouver: Copy

KHODAMORADI SAEED, TORABI GOODARZI MOHAMMAD, RAEI EZABADI MOHAMMAD EBRAHIM. MATHEMATICAL TWO-STAGE APPROACH IN PORTFOLIO OPTIMIZATION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(14):0-0. Available from: https://sid.ir/paper/405916/en

IEEE: Copy

SAEED KHODAMORADI, MOHAMMAD TORABI GOODARZI, and MOHAMMAD EBRAHIM RAEI EZABADI, “MATHEMATICAL TWO-STAGE APPROACH IN PORTFOLIO OPTIMIZATION,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 14, pp. 0–0, 2013, [Online]. Available: https://sid.ir/paper/405916/en

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