PORTFOLIO SELECTION BASED ON RISK CURVE AND SIMULATION

To approach real word, we must define risk as applicable conceptual for using in theoretical and practical models. Choosing an appropriate criterion for risk measurement has an important role in success of projects special selecting portfolio. Two criteria of the amount of loss together possibility of its occurrence determine risk or risk aversion of investors. Risk has varied definitions such as variance, semi variance, possibility of undesirable output and so on. Inthis paper, credibility of bad outcomes is considered as risk curve and a new conceptual of risk that is basis ofselecting portfolio problem. For solving this model, we use a hybrid algorithm that combines fuzzy and annealingsimulations. We solve two numerical examples with two algorithms. The former is a hybrid algorithm combiningfuzzy and annealing simulation and later is a hybrid algorithm combining fuzzy simulation and genetic algorithm.Computational results show the hybrid algorithm in this paper obtains the higher revenue than hybrid algorithm of genetic algorithm and fuzzy simulation. Also, we show the larger number of assets in a portfolio reduces credibility of bad outcomes and obtains the higher revenue

کلیدواژه ها:

portfolio ، risk curve ، credibility of bad output ، fuzzy simulation ، simulated annealing