PORTFOLIO OPTIMIZATION BASED ON RETURN, RISK AND LIQUIDITY WITH THE APPROACH OF GOAL 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.

ABEDI SHARABIYANI ALI AKBAR; GHANDEHARI MAHSA

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

Seminar Paper

Paper Information

Seminar: INTERNATIONAL CONFERENCE ON MODERN RESEARCH IN MANAGEMENT AND INDUSTRIAL ENGINEERING
Year:2016 | Issue:2

Download Full-Text

View:

228

Download:

140

Information Seminar Paper

Title

PORTFOLIO OPTIMIZATION BASED ON RETURN, RISK AND LIQUIDITY WITH THE APPROACH OF GOAL PROGRAMMING

Author(s)

ABEDI SHARABIYANI ALI AKBAR | GHANDEHARI MAHSA | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATION

LIQUIDITY

GOAL PROGRAMMING

MULTI-OBJECTIVE

Abstract

PURPOSE- THE MAIN PURPOSE OF THIS ARTICLE IS PROVIDING A GENERALIZED MODEL FOR PORTFOLIO'S OPTIMIZATION. IN THIS PAPER, WE HAVE ATTEMPTED TO DEVELOP MARKOWITZ MEAN- VARIANCE MODEL AND AS WELL ENTER LIQUIDITY CRITERION INTO MULTI-CRITERIA DECISION- MAKING MODEL WHICH LEADS TO THE OPTIMIZATION WITH USING OF GOAL PROGRAMMING.DESIGN/METHODOLOGY/APPROACH– THE METHODOLOGY THAT HAS BEEN USED IN THIS STUDY CONSISTS OF THREE STAGES; FIRST, THE SIX-OBJECTIVE CRITERION HAS BEEN OBTAINED WITH ENTERING LIQUIDITY CRITERION (INCLUDING: VARIATIONS, 12-MONTHS PERFORMANCE, RETURN OF ASSET (ROA), BID ASK SPREAD, TRADE VALUE AND TURNOVER RATIO) INTO THE MODEL. SECONDLY, THE MULTI-OBJECTIVE WAS STUDIED WITH USING OF THE GOAL PROGRAMMING AND MODELING. FINALLY, THE PORTFOLIO HAS BEEN OPTIMIZED WITH USING OF THE COLLECTED INFORMATION ABOUT CRITERION WHICH WERE GATHERED FROM DATA OF TEHRAN STOCK EXCHANGE (TSE) AND WITH CREATING GOALS RELATED TO INVESTORS WITH USING OF LINGO SOFTWARE ANALYZED DATA AND SPECIFIED INVESTMENTS SHARE OF INVESTORS IN ANY INDUSTRY.FINDINGS– LIQUIDITY CRITERIA COULD BE CONSIDERED AS IMPORTANT VARIABLES FOR INVESTORS BECAUSE OF INVESTOR’S PORTFOLIOS, OPTIMIZATION OF PORTFOLIO AND REDUCED RISK.ORIGINALITY/VALUE– SINCE LIQUIDITY IS AN IMPORTANT CRITERION FOR INVESTORS IN REDUCING PORTFOLIO RISK, AND THE MCDM APPROACH HAS BEEN CONSTRUCTED WITH ENTERING LIQUIDITY IN THE MARKOWITZ MODEL THAT THE MCDM APPROACH COULD BE OPTIMIZED WITH USING OF GOAL PROGRAMMING, FINALLY. THEREFORE, INNOVATION OF THIS ARTICLE IS DUE TO CONSTRUCTING THE MCDM APPROACH THAT FOCUSED ON LIQUIDITY CRITERION AND ALSO OPTIMIZING IT WITH GOAL PROGRAMMING.

Multimedia

No record.

Cites

No record.

References

No record.

Cite

APA: Copy

ABEDI SHARABIYANI, ALI AKBAR, & GHANDEHARI, MAHSA. (2016). PORTFOLIO OPTIMIZATION BASED ON RETURN, RISK AND LIQUIDITY WITH THE APPROACH OF GOAL PROGRAMMING. INTERNATIONAL CONFERENCE ON MODERN RESEARCH IN MANAGEMENT AND INDUSTRIAL ENGINEERING. SID. https://sid.ir/paper/929079/en

Vancouver: Copy

ABEDI SHARABIYANI ALI AKBAR, GHANDEHARI MAHSA. PORTFOLIO OPTIMIZATION BASED ON RETURN, RISK AND LIQUIDITY WITH THE APPROACH OF GOAL PROGRAMMING. 2016. Available from: https://sid.ir/paper/929079/en

IEEE: Copy

ALI AKBAR ABEDI SHARABIYANI, and MAHSA GHANDEHARI, “PORTFOLIO OPTIMIZATION BASED ON RETURN, RISK AND LIQUIDITY WITH THE APPROACH OF GOAL PROGRAMMING,” presented at the INTERNATIONAL CONFERENCE ON MODERN RESEARCH IN MANAGEMENT AND INDUSTRIAL ENGINEERING. 2016, [Online]. Available: https://sid.ir/paper/929079/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops