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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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/4105105 |
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| _version_ | 1832554767319040000 |
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| author | Mehran Sadri Alireza Sadeghi Mahdi Madanchi Zaj Esmaeel Afzoon Helia Dardaei-beiragh |
| author_facet | Mehran Sadri Alireza Sadeghi Mahdi Madanchi Zaj Esmaeel Afzoon Helia Dardaei-beiragh |
| author_sort | Mehran Sadri |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-cdeea097437b4f6aa09fd9461ffe3b74 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-cdeea097437b4f6aa09fd9461ffe3b742025-02-03T05:50:36ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/4105105A Robust Multiobjective Mathematical Model Optimizing Stock PortfolioMehran Sadri0Alireza Sadeghi1Mahdi Madanchi Zaj2Esmaeel Afzoon3Helia Dardaei-beiragh4Department of Industrial EngineeringDepartment of Financial ManagementDepartment of Financial ManagementDepartment of Theoretical EconomicsDepartment of Industrial EngineeringThe 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.http://dx.doi.org/10.1155/2022/4105105 |
| spellingShingle | Mehran Sadri Alireza Sadeghi Mahdi Madanchi Zaj Esmaeel Afzoon Helia Dardaei-beiragh A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio Discrete Dynamics in Nature and Society |
| title | A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio |
| title_full | A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio |
| title_fullStr | A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio |
| title_full_unstemmed | A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio |
| title_short | A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio |
| title_sort | robust multiobjective mathematical model optimizing stock portfolio |
| url | http://dx.doi.org/10.1155/2022/4105105 |
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