Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences

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OMIDI HAMED; VAKILIFARD HAMID REZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:10 | Issue:41 Page(s): 26-46

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Title

Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences

Author(s)

OMIDI HAMED | VAKILIFARD HAMID REZA | Issue Writer Certificate

Keywords

Optimal portfolioQ1

Fuzzy goal programingQ2

InvestorsQ1

MarkowitzQ1

Black hole AlgorithmsQ1

Hybrid AlgorithmsQ1

Abstract

The variety of investment methods and the complexity of decision making has strongly developed in recent decades, and due to this widespread growth, there has been created need to inclusive and integrative models. to meet this need, financial modeling is created from the connection between financial approach and mathematical planning. Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing Optimal portfolios, taking into account the prosperity and recession periods, and the types of Investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models(Black hole Algorithms, Hybrid Algorithms and gravity) have been used. And finally, it has been compared to the results of the Markowitz pricing model.

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APA: Copy

OMIDI, HAMED, & VAKILIFARD, HAMID REZA. (2020). Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(41 ), 26-46. SID. https://sid.ir/paper/406677/en

Vancouver: Copy

OMIDI HAMED, VAKILIFARD HAMID REZA. Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;10(41 ):26-46. Available from: https://sid.ir/paper/406677/en

IEEE: Copy

HAMED OMIDI, and HAMID REZA VAKILIFARD, “Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 41 , pp. 26–46, 2020, [Online]. Available: https://sid.ir/paper/406677/en

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