A chance constrained recourse approach for the portfolio selection problem in Iran capital market
Subject Areas : Financial engineering
Meysam Doaei
1
,
mahsa saberfard
2
1 - Department of Financial Management, Esfarayen brance, Islamic Azad universiy, Esfarayen, Iran.
2 - Department of industrial Engineering, Asrar higher education institute, Mashhad, Iran.
Keywords: goal programming, Return, Risk, Bi-objective Mathematical Model,
Abstract :
In this study, the investment management problem in the Tehran Stock Exchange and OTC companies in Iran as a stock portfolio optimization problem is investigated. This model has two objective functions including risk minimization and return maximization. The constraints are including the assigning all budgets to the companies considering budget limitation. In order to deal with the uncertainty conditions in the model parameters, the chance constraints approach is used and the objective functions are considered as a single problem using the goal-programming method. To solve the problem in the two-purpose mode, the augmented epsilon constraint method is used. According to the numerical results, it can be seen that problem solving in two-objective mode is able to produce Pareto solutions that do not dominate each other in a feasible space. Also, in case of uncertainty, the use of goal-programming leads to numerical solutions with the appropriate level of performance and costs are consistent with reality. In fact, the problem results in both multi-objective and single-objective situations can be implemented in real-world conditions. Finally, it can be said that the use of computational results of this study can be used as an operational tool.
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