Provide a multi-objective - multi-objective mathematical model for investing in a portfolio under a hybrid risk measure

Subject Areas : Financial engineering

ahmad  dadashpour omrani ¹ (department of economic, babol Branch, Islamic azad university, babol, iran)
syed ali  nabavi chashmi ² (department of management, babol Branch, Islamic azad university, babol, iran)
erfan  memarian ³ (department of economic, babol Branch, Islamic azad university, babol, iran)

Received: 2021-12-20 Accepted : 2022-03-06 Published : 2023-06-22

Keywords: Transaction cost, Multi-objective planning, multi-time, half-variance, conditional risk value,

Abstract :

What has been said so far in the financial calculations and in the field of stock portfolio selection is that it prioritizes the existing investments in terms of degree of risk and return, so that investors can, considering the financial possibilities and Their risk level to form their preferred stock portfolio. Therefore, in this research, to present a multi-objective mathematical model for measuring stock portfolio risk by combining return metrics with two risk metrics, namely half variance and conditional risk exposure value along with transaction cost limit for fifteen shares of the top fifty stocks. The period of twelve months ending in 1398 has been discussed in the context of the Iranian capital market. According to the tables and graphs obtained from solving this type of model with the help of dynamic planning in different investment times, we will see better results in the efficiency of investors' decisions by spending less time and money and consequently more profitability of the portfolio.