Click for new scientific resources and news about Corona[COVID-19]

Paper Information

Journal:   TAHGHIGHAT-E-EGHTESADI   WINTER 2010 , Volume 44 , Number 89; Page(s) 243 To 262.
 
Paper: 

PORTFOLIO SELECTION IN TEHRAN STOCK EXCHANGE MARKET WITH A GENETIC ALGORITHM

 
 
Author(s):  NAVIDI H.R., NOJOUMI MARKID A., MIRZAZADEH HOJAT
 
* 
 
Abstract: 

Portfolio selection is considered a critically significant decision, firms have to make. As such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. This paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. In this paper, a genetic algorithm is presented for portfolio selection. Stochastic simulation is used to calculate the expected values and the values of the risk curve function. Finally, as a case study, the algorithm has been used for portfolio selection in Tehran Stock Exchange. The results of the algorithm and the experiment show that the designed algorithm is very effective for solving the portfolio selection problem.

 
Keyword(s): 
 
References: 
  • ندارد
 
  Persian Abstract Yearly Visit 80
 
Latest on Blog
Enter SID Blog