Using Multi-objective Algorithm (NSGA-II) in Selecting Optimal Portfolio in Tehran Stock Exchange
الموضوعات :
سید احمد شیبت الحمدی
1
,
محمد همتی
2
,
مهدی اسفندیار
3
1 - دانشگاه ازاد اسلامی، گروه مدیریت صنعتی، فیروزکوه، ایران
2 - دانشگاه ازاد اسلامی، گروه مدیریت صنعتی، فیروزکوه، ایران
3 - دانشگاه ازاد اسلامی، گروه مدیریت صنعتی، فیروزکوه، ایران
الکلمات المفتاحية: Genetic algorithm, optimization, multi-objective genetic algorithm, Stock Exchange,
ملخص المقالة :
In financial matters, portfolio can be interpreted as a combination or a series of investments hold by an institution or a person. Portfolio optimization is one of the most important concerns of investors for maximizing the portfolio in financial markets. The formation of portfolio is a vital and critical decision for the companies. In fact, the selection of portfolio is to specify the capital between different shares. So, selecting a portfolio by high returns rate and controlled risk is a matter noted by many researchers. The present ways of optimization the portfolio have not sufficient adequacy. Therefore, so many innovative algorithms are considered and used. Genetic algorithm can solve many optimization problems of portfolio efficiently. The aim of this research is to completely explain genetic algorithm when using it to optimize portfolio matters. The researcher tries to develop an approach based on a multi-objective algorithm known as NSGA-II to form a portfolio. 30 superior companies listed in Tehran stock Exchange are selected as the population and their data are used during 2007-2011. The results indicate that genetic algorithm designed is an efficient and appropriate means to help the investors to select a portfolio
