Robust Multi-Objective Portfolio Selection Problem

One of the most discussed problems of applied finance is the optimal selection of stocks, Portfolio problem. The fundamental function of any Portfolio selection problem is to identify inefficient Portfolios and to reduce alternative decisions that the decision maker must evaluate. This paper extends the common Portfolio selection problem, in which Mean and Value at Risk, VaR, is used. In this model Median, Mean and Skewness are used to measure the central tendency of securities rate of return

کلیدواژه ها:

Genetic Algorithm ، multi-objective ، Portfolio selection ، robust