A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio

The present paper investigates the problem of capital portfolio selection under uncertain conditions and uses a robust optimization approach for modeling. The model provided in this paper is a three-objective model that aims to maximize returns, maximize liquidity, and minimize risk. The data extrac...

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Vydáno v:Discrete dynamics in nature and society Ročník 2022; číslo 1
Hlavní autoři: Sadri, Mehran, Sadeghi, Alireza, Madanchi Zaj, Mahdi, Afzoon, Esmaeel, Dardaei-beiragh, Helia
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York Hindawi 2022
John Wiley & Sons, Inc
Wiley
Témata:
Capital assets
Capital markets
Expected values
Goal programming
Investment analysis
Investment policy
Investments
Linear programming
Literature reviews
Mathematical models
Multiple objective analysis
Optimization
Portfolio management
Robustness (mathematics)
Securities industry
Securities markets
Sensitivity analysis
Stock exchanges
Stock markets
Stocks
Iran
ISSN:1026-0226, 1607-887X
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Popis
Shrnutí:The present paper investigates the problem of capital portfolio selection under uncertain conditions and uses a robust optimization approach for modeling. The model provided in this paper is a three-objective model that aims to maximize returns, maximize liquidity, and minimize risk. The data extracted from the site of the Tehran Stock Exchange are as follows. These data are related to twenty shares from July 2020 to July 2021. The robust approach used in this research has been analyzed by the real data of the Tehran Stock Exchange and then the optimal portfolio for different robust costs has been formed by solving the robust model. In the following section, the relevant model is solved through real stock market data and using the goal programming approach, and the results are investigated and analyzed.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1026-0226
1607-887X
DOI:10.1155/2022/4105105