Portfolio optimization with robust possibilistic programming

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

AMIRI MAGHSOUD; Heidary Mohammad Saeed

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: IRANIAN JOURNAL OF FINANCE Year:2018 | Volume:2 | Issue:4 Page(s): 41-63

Download Full-Text

View:

176

Download:

107

Cites:

Information Journal Paper

Title

Portfolio optimization with robust possibilistic programming

Author(s)

AMIRI MAGHSOUD | Heidary Mohammad Saeed | Issue Writer Certificate

Keywords

Portfolio Optimization

Sharpe ratio

Robust Possibilistic Programming

Abstract

Portfolio selection is one of the most important financial and investment issues. Portfolio selection seeks to allocate a predetermined capital (wealth) over one or multiple time periods between assets and stocks in a such way that the wealth of investor (portfolio owner) is maximized the risks are minimized. In the paper, we first propose a mathematical programming model for Portfolio selection to maximize the minimum amount Sharpe ratios of portfolio in all periods (max-min problem). Then, due to the uncertain property of the input parameters of such a problem, a Robust Possibilistic Programming model (based on necessity theory) has been developed, which is capable of adjusting the robust degree of output decisions to the uncertainty of the parameters. The proposed model has been tested on 27 companies active in the Tehran stock market. At the end, the results of the model demonestrate the good performance of the Robust Possibilistic Programming model.

Multimedia

No record.

Cites

No record.

References

No record.

Cite

APA: Copy

AMIRI, MAGHSOUD, & Heidary, Mohammad Saeed. (2018). Portfolio optimization with robust possibilistic programming. IRANIAN JOURNAL OF FINANCE, 2(4), 41-63. SID. https://sid.ir/paper/755521/en

Vancouver: Copy

AMIRI MAGHSOUD, Heidary Mohammad Saeed. Portfolio optimization with robust possibilistic programming. IRANIAN JOURNAL OF FINANCE[Internet]. 2018;2(4):41-63. Available from: https://sid.ir/paper/755521/en

IEEE: Copy

MAGHSOUD AMIRI, and Mohammad Saeed Heidary, “Portfolio optimization with robust possibilistic programming,” IRANIAN JOURNAL OF FINANCE, vol. 2, no. 4, pp. 41–63, 2018, [Online]. Available: https://sid.ir/paper/755521/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops