Optimization and active management of Portfolio Using Aunt Colony Algorithm Considering Uncertainty and Robust Programming; Case: Tehran Stock Exchange

Subject Areas : Financial engineering

mohammad hosein ranjbari vahid ¹ , seyed jalal sadeghi sharif ² , reza eivazlu ³ , mohsen mehrara ⁴

1 - Department of Financial Management, Faculty of Management, University of Tehran, Alborz Campus، karaj، iran.
2 - Department of financial management and Accounting Faculty of Management and Accounting, university of Shahid Beheshti Tehran Iran
3 - Department of financial management and Insurance, Faculty of Management university of Tehran Tehran Iran
4 - Department of Economics Faculty of Economics, University of Tehran Tehran Iran

Received: 2019-11-10 Accepted : 2020-02-19 Published : 2020-06-21

Keywords: Uncertainty, Portfolio, CVAR, Key Words: Robust Programming, Active Management,

Abstract :

AbstractBased on Markowitz theory of portfolio optimization, capital market is not predictable by any methods and the risk can only be diversified through portfolio formation and optimization. Recent works made huge developments in the basic model from modeling and risk measures perspectives. Spectral risk measures such as expected shortfall and value at risk are being used frequently as risk measures. In addition, researchers tend to consider uncertainty in risk and return evaluation via fuzzy, stochastic and robust modeling. However, a matter that has been neglected in many researches is portfolio management under uncertainty conditions. This paper propose a method for robust modeling of portfolio optimization and management using expected shortfall as risk measure and Bertsimas modeling as robust programming. The proposed model solved with artificial bee colony algorithm and results show a better performance of proposed model compared to classic methods in both the optimal portfolio formation and its management phase.

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