Provide a robust planning model Possibility to select a stock portfolio based on Sharp ratio
Subject Areas : Financial Knowledge of Securities AnalysisMaghsoud Amiri 1 , Mohammad Saeed Heidary 2
1 - Prof. Faculty of management and accounting, Allameh Tabataba'i University, Tehran, Iran
2 - Ph.D. student of financial management, Faculty of management and accounting, Allameh Tabataba'i University, Tehran, Iran
Keywords: Stable feasibility planning, Sharp Ratio, portfolio optimization, Fuzzy optimization,
Abstract :
Portfolio selection and asset management is one of the most important financial issues that seeks to distribute a specified budget over multiple time periods between available assets in such a way that the return of the portfolio is maximized and, at the same time, its risk does not exceed a certain amount. In this paper, we first propose a nonlinear mathematical programming model for Portfolio selection to maximize Sharpe ratios of stocks. Then, due to the uncertain nature of the input parameters of such a problem, a new robust possibilistic programming model has been developed, which is capable of adjusting the robust degree of output decisions to the uncertainty of the parameters. The proposed model was first tested and evaluated on 42 companies active in the Tehran stock market. In the end, the computational results of the proposed model show the high performance and the utility of the robust possibilistic programming model.
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