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Journal:   FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)   fall 2019 , Volume 12 , Number 43 ; Page(s) 73 To 87.
 
Paper: 

Developing An Uncertain Mean-Chance Model For Portfolio Optimization Using Forecasted Returns

 
 
Author(s):  Didehkhani Hosein, Shiri Ghehi Amir, Miran Behzad
 
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Abstract: 
The purpose of this research is to present a portfolio optimization model within the framework of uncertainty theory. To estimate the return on assets, a prospective approach was used based on expert opinions. Also, a different risk-based approach based on uncertainty (chance model) was used to model risk. The theory used to model the uncertainty in model parameters is the uncertainty theory. The team of experts involved in this research was required to complete the required information on the projections used, including 30 managers of the portfolio of active investment funds in the Tehran Stock Exchange. In the end, to demonstrate the applicability, the model was designed in Tehran Stock Exchange and according to the nonlinear nature of the model, the hyper bacterial method of the genetic algorithm was used to solve it. Finally, by generating randomized portfolios and comparing them with the optimal portfolio for solving the model, we conclude that the optimized portfolio achieves a higher level of efficiency while delivering better performance.
 
Keyword(s): Mean-chance model,uncertainty theory,portfolio optimization
 
 
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APA: Copy

Didehkhani, H., & SHIRI GHEHI, A., & Miran, B. (2019). Developing an uncertain mean-chance model for portfolio optimization using forecasted returns. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(43 ), 73-87. https://www.sid.ir/en/journal/ViewPaper.aspx?id=702681



Vancouver: Copy

Didehkhani Hosein, SHIRI GHEHI AMIR, Miran Behzad. Developing an uncertain mean-chance model for portfolio optimization using forecasted returns. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES). 2019 [cited 2022May16];12(43 ):73-87. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=702681



IEEE: Copy

Didehkhani, H., SHIRI GHEHI, A., Miran, B., 2019. Developing an uncertain mean-chance model for portfolio optimization using forecasted returns. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), [online] 12(43 ), pp.73-87. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=702681.



 
 
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