Portfolio Selection Problem under Uncertainty: A Robust Optimization Approach

سال انتشار: 1397
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 583

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شناسه ملی سند علمی:

IDS03_075

تاریخ نمایه سازی: 31 اردیبهشت 1398

چکیده مقاله:

Portfolio selection (PS) is one of the most important problems in financial markets. As regards to this fact that one of the most important features of financial markets is their uncertainty, in this paper, by applying robust optimization (RO) approach, the robust portfolio selection (RPS) models that are capable to be used in the presence of uncertainty are presented. It should be noted that risk, return and liquidity are considered in proposed models. Finally, the proposed approach of the paper is implemented in a real case study of Tehran Stock Exchange (TSE). Illustrative results show that proposed approach is effective

نویسندگان

Pejman Peykani

Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran

Emran Mohammadi

Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran