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Paper Information

Journal:   FINANCIAL RESEARCH   winter 2017 , Volume 18 , Number 4 ; Page(s) 591 To 612.
 
Paper: 

Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches

 
 
Author(s):  Taghizadeh Yazdi Mohammadreza*, FALLAHPOUR SAEED, Ahmadi Moghaddam Mohammad
 
* Faculty of Management, University of Tehran, Tehran, Iran
 
Abstract: 
Finding the best method to optimize Portfolio, has been found more value in investment management industry after publishing harry Markowitz’ s article in 1952. It caused to find various new method related to portfolio of stock exchange. In this article, portfolio is optimized by two new model of Goal Programming, Meta-Goal Programming & Extended Lexicography Goal Programming. Our goal is to maximized the Rate of return & Liquidity, and minimize risk & beta of the stock in the models. This research has been done in Tehran exchange market. At the end, resulting values would be compared. The rate of return for ELGP model is 21/678% and for Meta-GP model is 20/178%.
 
Keyword(s): Extended Lexicography Goal Programming,Portfolio optimization,Meta-Goal Programming
 
 
References: 
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Cite:
APA: Copy

Taghizadeh Yazdi, M., & FALLAHPOUR, S., & Ahmadi Moghaddam, M. (2017). Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches. FINANCIAL RESEARCH, 18(4 ), 591-612. https://www.sid.ir/en/journal/ViewPaper.aspx?id=655221



Vancouver: Copy

Taghizadeh Yazdi Mohammadreza, FALLAHPOUR SAEED, Ahmadi Moghaddam Mohammad. Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches. FINANCIAL RESEARCH. 2017 [cited 2021April14];18(4 ):591-612. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=655221



IEEE: Copy

Taghizadeh Yazdi, M., FALLAHPOUR, S., Ahmadi Moghaddam, M., 2017. Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches. FINANCIAL RESEARCH, [online] 18(4 ), pp.591-612. Available at: <https://www.sid.ir/en/journal/ViewPaper.aspx?id=655221>.



 
 
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