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

Paper Information

Journal:   FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)   winter 2019 , Volume 9 , Number 37 ; Page(s) 263 To 298.
 
Paper: 

Solving the multiobjective portfolio rebalancing model with fuzzy parameters to develop the expected value by genetic algorithm

 
 
Author(s):  Didehkhani Hosein, Fereidooni koochaksaraei zeynab
 
* 
 
Abstract: 
The ability to choose the most optimal change in the composition of the portfolio of assets, brings the investor to the highest level of investment in terms of efficiency and effectiveness in the dynamic and changing market. Rebalancing the portfolio occur through a change in the composition of assets weights, remove the assets, bought and sold assets and etc. Therefore, in this study solving the multiobjective portfolio rebalancing model with fuzzy parameters. The return, risk, liquidity and uncertainty as a key financial criteria are considered. Due to its importance as well as transaction costs, the net return of the portfolio are adjusted. the multiobjective portfolio rebalancing model with fuzzy parameters is solved by fuzzy goal programming and a hybrid intelligent algorithm that combines fuzzy simulation with a genetic algorithm. The results demonstrated the effectiveness of the solution approach and effciency of the model in practical applications of rebalancing an existing portfolio.
 
Keyword(s): Fuzzy portfolio Rebalancing,multiobjective programming,Fuzzy Goal Programming,genetic algorithm
 
References: 
  • ندارد
 
  Persian Abstract Yearly Visit 68
 
Latest on Blog
Enter SID Blog