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Open Access Article
1 - Modeling and Comparison of Fuzzy and Non-Fuzzy Multi-Objective Evolution Optimization Portfolios in Tehran Stock Exchange
Mohammad Fallah Hadi Khajezadeh Dezfuli Hamed NozariSelecting the optimal stock portfolio is one of the most important issues in the field of financial research, which tries to choose the optimal combination of assets in order to create maximum utility for the investor, Given that the return on securities in the real wor MoreSelecting the optimal stock portfolio is one of the most important issues in the field of financial research, which tries to choose the optimal combination of assets in order to create maximum utility for the investor, Given that the return on securities in the real world is often vague and inaccurate, one of the most important investment challenges is uncertainty about the future. In this paper the problem of selecting and optimizing securities portfolios with different modeling goals has been solved and compared. The designed models have considered both the nature of the portfolio selection issue and the considerations considered by the shareholder in the portfolio selection. The uncertainty quality of the future return of a given portfolio is estimated using fuzzy LR numbers, while its return torques are measured using possibility theory. The most important purpose of this paper is to solve the problem and compare portfolio selection models with simultaneous optimization of two, three, and four objectives. For this purpose, the NSGA-II genetic algorithm is used and the mutation and intersection operators are designed specifically to generate possible solutions to the cardinality constraint of the problem. Finally, the efficiency and performance of the models in case of using fuzzy logic and not using it have been compared and it has been determined that the use of fuzzy logic and possibility theory leads to the formation of portfolios with higher performance and higher efficiency. Manuscript profile -
Open Access Article
2 - Resource management for the issue of selecting and scheduling a self-financing project portfolio in Project-oriented organizations
Seyed Mahdi Mirkhorsandi Langaroudi Hossein Khosravi Alireza Davoodi Seyed Mojtaba MovahedifarProject-oriented organizations are one of the emerging organizational forms that are formed around projects and teams. These organizations have dynamic boundaries and fields of works, in which the number and size of projects of the organization are constantly changing. MoreProject-oriented organizations are one of the emerging organizational forms that are formed around projects and teams. These organizations have dynamic boundaries and fields of works, in which the number and size of projects of the organization are constantly changing. In this regard, the managers of these organizations are always faced with the issue of choosing the higher economic justification projects for their organizations, as well as, resource management (including resource leveling and resources allocation) for the selected projects. In this research, a mathematical model of renewable and non-renewable resource management for self-financing project-oriented organizations is presented. This means that financing of the selected projects within the organization is limited to the initial capital and the incomes of the completed projects. In this regard, the project portfolio theory is used to solve the problem of the selection and scheduling of the projects within the project-oriented organization considering the limitation of renewable and non-renewable resources, the existence of a prerequisite relationship between project activities, the time value of capital for financial resources and finally the application of reinvestment strategy. The multi-objective function maximizes the net present value of the investment as well as minimizes the amount of the idle renewable resources. The modeling is a mixed integer programming and after linearization of the model, the LP-metric method is used to solve the multi-objective function, and finally the results are examined on a numerical example. Manuscript profile -
Open Access Article
3 - Fuzzy Mean-CVaR Portfolio Selection Based on Credibility Theory
S. Babak Ebrahimi Amirsina Jirofti Matin AbdiThis paper develops a fuzzy portfolio selection problem that minimizes conditional value-at-risk (CVaR) and estimates CVaR by fuzzy credibility theory and also calculates expected return by fuzzy credibility mean. Using fuzzy techniques makes the model more precise and MoreThis paper develops a fuzzy portfolio selection problem that minimizes conditional value-at-risk (CVaR) and estimates CVaR by fuzzy credibility theory and also calculates expected return by fuzzy credibility mean. Using fuzzy techniques makes the model more precise and accurate due to uncertainty of financial data. The use of CVaR helps investors make better decisions because it indicates the size of loss. This study considers some constraints for model including liquidity, cardinality, minimum and maximum investment proportion. The liquidity constraint is measured by turnover of each asset as a trapezoidal fuzzy number. The liquidity constraint converts to a linear constraint by using fuzzy credibility theory. Using CVaR as a risk measurement and efficient constraints makes the model appropriate and adequate for portfolio selection. Finally, a numerical example is provided by 10 stocks chosen from Tehran Stock Exchange Market in 2015 and it shows the effectiveness and applicability of the proposed model Manuscript profile -
Open Access Article
4 - Portfolio selection by Using Multi Attribute Decision Making based on grey relational analysis and linear programming
A. Asghar Anvari Rostami Mahdis Taghavi M. Ebrahim AghababaeiOne of the most important challenges in the stock market for investors is selecting Portfolio. This study by considering the financial ratios as evaluating indicators tries to determine appropriate model for investment decisions in stocks. In this study, the combination MoreOne of the most important challenges in the stock market for investors is selecting Portfolio. This study by considering the financial ratios as evaluating indicators tries to determine appropriate model for investment decisions in stocks. In this study, the combination of respectively models, linear regression, multi attribute decision making and linear programming were used to forecast the future of financial ratio trends, ranking companies and asset allocation. In the first step of study, after selecting 17 financial ratios and indicators as variables of the hybrid model, their values from the first quarter of 2007 to the first quarter of 2015 was calculated for companies included in the sample. Then by using the moving average with exogenous inputs and Auto Regressive Moving Average with exogenous input, these variables were predicted for the studied period (second quarter 2015). In the next step, we used Shannon entropy to determine the weight of indexes and the grey relational analysis for ranking companies. Finally, by using a linear programming model, a model was developed to select the optimal portfolio. According to this model, a portfolio of stocks formed and by using the Sharp ratio, its performance was compared with the overall index and the top 50 index. The results showed that the hybrid model has had a better performance than the overall index and the top 50 index, in the period of the study. Manuscript profile -
Open Access Article
5 - The two-stage Approach for Stock Selection and Portfolio Composition (Enriched Promethee Method)
Saeed Khodamoradi Mahdi Bashiri Hossein ReisiDeciding about portfolio selection and composition are the main challenge ofinvestment institutions. The nature of analysis and effective criteria in industry andcompany are different. They should rank the industry and companies options with regardto multiple and confli MoreDeciding about portfolio selection and composition are the main challenge ofinvestment institutions. The nature of analysis and effective criteria in industry andcompany are different. They should rank the industry and companies options with regardto multiple and conflict criteria that they have different weights and priorities. This articleseeks to provide two-stage approach for stock selection and portfolio composition. Weenriched promethee (compensatory MCDM method) by weight of criteria. Then we usedit in intended approach. The expert opinions and objective data used to criteria ranking.An ANP was used to determining weight of criteria that merge in promethee method.After designing we tried to validate our approach with real data. The results show wehave 7% (simple mode) and 11% (enriched mode) return more than actual performance.Using of Porter five forces analysis for indentifying and verify industry criteria, toinclude some indices from corporate governance and technical analysis, weighting thecriteria and integrate them in the promethee are our research novelty. Manuscript profile -
Open Access Article
6 - Portfolio selection with Lower tail dependence and Extreme value theory
Said Falahpur Samine FeyzolahPortfolio selection is an important problem in area of finance. Researchers have always tried to work with a variety of methods and strategies to achieve this important issue.In this research has been trying to present a new approach for portfolio selection with use of MorePortfolio selection is an important problem in area of finance. Researchers have always tried to work with a variety of methods and strategies to achieve this important issue.In this research has been trying to present a new approach for portfolio selection with use of lower tail dependence and Extreme value theory.We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of stocks and show that it differs systematically from other risk measures including variance, semi-variance, skewness, kurtosis, beta, and coskewness. In out-of-sample tests, portfolios constructed to have low values of χ outperform the market index, and portfolios with high values of χ. Our results indicate that χ is conceptually important for risk-averse investors, differs substantially from other risk measures, and provides useful information for portfolio selection. Manuscript profile -
Open Access Article
7 - Pricing of build-operate-transfer and public-private partnership projects under risk
Adel Hambashi Ahmad Ebrahimi Roya SoltaniSuccessful implementation of appropriate portfolio of related projects with taking advantage of private company capabilities, is one of the progress indicators in each country. Build - Operate - Transfer contracts as a branch of Public - Private Partnerships are also on MoreSuccessful implementation of appropriate portfolio of related projects with taking advantage of private company capabilities, is one of the progress indicators in each country. Build - Operate - Transfer contracts as a branch of Public - Private Partnerships are also one of the popular tools to respond to government fund deficiencies in infrastructure projects. In this paper, the whole investment process is set based on self-financing. For selection and time schedule favorite of the project portfolio, a two - way mathematical model with sustainability goals by considering risk, resource constraint, optimal project, interdependence among projects and the flexible time horizon strategy is presented. Also, the main contribution of this paper is considered on maximizing the social benefits of stakeholders. To solve the model, the epsilon constraint method in small and medium size and metaheuristic method of multi - objective genetic algorithm in large size is used. Finally, the main project decision makers determine the cost of the project by selecting the optimal value. Manuscript profile -
Open Access Article
8 - Evolutionary multi-objective (3 or 4) optimization portfolio using fuzzy logic in Tehran Stock Exchange
Mohammad Javad Salimi Mirfeiz FallahShams Hadi Khajezadeh DezfuliThe problem of portfolio optimization and stock selection is one of the major areas for financial investors in financial markets. In this paper, some of the challenges of simultaneously multi-objective portfolio optimization are addressed. Four different models are desi MoreThe problem of portfolio optimization and stock selection is one of the major areas for financial investors in financial markets. In this paper, some of the challenges of simultaneously multi-objective portfolio optimization are addressed. Four different models are designed: a fuzzy multi-objective programming model has been used to consider the multi-criteria nature of stock selection and the uncertainty associated with the return on assets and a simple model for doing this. The models are designed in such a way that both the nature of the multiplicity of the problem of portfolio selection is considered and the considerations of the investor in the choice of portfolios are involved. After designing the evolutionary 3 and 4 objective models of portfolio optimization, multi-objective evolutionary algorithm NSGA-II was used to solve this models. Concretely, it optimizes return, the downside-risk, skewness and the Kurtosis of a given daily returns, taking into account budget, and investor constraints. Because of the NP-HARD nature of the above models, the NSGA-II proprietary algorithm was coded in the MATLAB, and after solving each model and extracting the Pareto frontier, the best portfolio on the Pareto front was selected based on the maximum Sortino ratio. Finally, the results of the obtained portfolios in both fuzzy and non-phase conditions were compared according to the trainer's ratio, and it was determined that the use of fuzzy logic in quadratic evolutionary algorithms, compared to a situation where fuzzy logic is not used in the design and use of these algorithms., Creates more favorable results. Manuscript profile -
Open Access Article
9 - Assessing the Impact of Managers' Agency Motivation on Investment Portfolio Selection in the Framework of prospect Theory
najaf karami Rasoul ABDI nader rezaei asgar pakmaramAgency theory mainly refers to the conflict of interests between management and ownership that managers may behave differently in investing despite contract incentives. Accordingly, in the present article, while examining the behavioral financial concepts, the behaviora MoreAgency theory mainly refers to the conflict of interests between management and ownership that managers may behave differently in investing despite contract incentives. Accordingly, in the present article, while examining the behavioral financial concepts, the behavioral portfolio theory is explained and then the effect of managers' motivation on the selection of investment portfolio is evaluated in the framework of prospect theory. In the present study, ten-year data on stock index yield and cash return Bahadar has been used from the beginning of 1389 to the end of 1398 and while separating test data into two parts of test and evaluation data based on quarterly returns of the first seven years, the proposed behavioral portfolio based on motivation and vision theory and calculation of returns and risk for 81 The proposed portfolio for the next three years is examined. The statistical test of the research hypotheses at an error level of 5% indicates that although the yield of the resulting portfolio was not significantly different between the classical and behavioral models, the risk of the behavioral financial portfolio was less than the classical portfolio Manuscript profile -
Open Access Article
10 - Optimal Portfolio Selection using Machine Learning Algorithms
Mohammad baghar yazdani khodashahri Seyed Hossein Naslemousavi Mir Saeid Hoseini ShirvaniChoosing the right portfolio is always one of the most important issues for investors. The price trend is predicted using technical analysis or basic analysis. Technical analysis focuses on market performance, while the focus of fundamental analysis is on the mechanism MoreChoosing the right portfolio is always one of the most important issues for investors. The price trend is predicted using technical analysis or basic analysis. Technical analysis focuses on market performance, while the focus of fundamental analysis is on the mechanism of supply and demand, and these changes prices. The existence of a solution to predict growth or decrease in stocks has been studied as a basic need in this study. In the present study, with the help of a monitoring dataset, a solution based on Raff collection algorithms and hierarchical analysis to reduce the feature and decision tree algorithms, backup vector machine, and business network have been used for prediction. This proposed solution has been implemented using language and compared with different solutions, and the research results have shown that the proposed method with 80% accuracy of prediction and 20 errors in prediction has the highest accuracy and the lowest error rate among the methods compared. Manuscript profile -
Open Access Article
11 - Solving portfolio selection problem using Dantzig-Wolfe algorithm
Javad Behnamian Mohammad MoshrefiPortfolio selection process is one of the problems that have been attracted many researchers. Various criteria that have been applied in this case have changed over time and this situation makes necessary the using of appropriate tools to support investment decisions. T MorePortfolio selection process is one of the problems that have been attracted many researchers. Various criteria that have been applied in this case have changed over time and this situation makes necessary the using of appropriate tools to support investment decisions. The purpose of this research is modeling and solving of portfolio selection problem. On the other hand, in some cases of a portfolio optimization, due to largeness of problem size, the problem would be impossible to solve in a reasonable time. In such situation, applying the methods that reduce the scale of problem can be useful. In current paper a Dantzig-Wolfe algorithm is used to solve the problem in which, after decomposing the basic problem into several sub problems and solving them, individually, the obtained results are aggregated. The results of applying this method showed its efficiency in solving the large-scale problems show. Manuscript profile -
Open Access Article
12 - Stock Portfolio Selection Using Dempster-Shafer Evidence Theory
Shaban Mohammadi Nader Naghshbandi Hadi SaeidiMarkovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi me MoreMarkovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets. Manuscript profile -
Open Access Article
13 - یک روش DEA فازی برای انتخاب پروژه با استفاده از تحلیل ریسک مطلوب و نا مطلوب
شقایق صادقیان فرهاد حسین زاده لطفی بهروز دانشیان نیما آذرمیراین مقاله یک مدل مبتنی برDEA برای تحلیل ریسک فازی در انتخاب پروٰژه ارایه می دهد. ما از مفهوم نیم واریانس برای اندازه گیری ریسک بالا و پایین ویک مدل DEAبرای طبقه بندی ریسک مطلوب و نامطلوب استفاده می کنیم. اولا مدل پیشنهادی شامل شاخص های جدید ریسک مطلوب-بازده و ریسک نامطل Moreاین مقاله یک مدل مبتنی برDEA برای تحلیل ریسک فازی در انتخاب پروٰژه ارایه می دهد. ما از مفهوم نیم واریانس برای اندازه گیری ریسک بالا و پایین ویک مدل DEAبرای طبقه بندی ریسک مطلوب و نامطلوب استفاده می کنیم. اولا مدل پیشنهادی شامل شاخص های جدید ریسک مطلوب-بازده و ریسک نامطلوب-بازده است.بنابراین یک مدل جدید برای ارزیابی و طبقه بندی ریسک مطلوب و نامطلوب ارایه شده است. ونهایتا به یک مدل DEAفازی برای انتخاب پورتفولیو پروژه توسعه داده شده است. یک مثال کاربردی با ۳۷ پروژه در دسترس برای توضبح و کاربردی بودن روش پیشتهادی ارایه شده است. Manuscript profile -
Open Access Article
14 - The Tail Mean-Variance Model and Extended Efficient Frontier
Esmat Jamshidi Eini Hamid Khaloozadeh -
Open Access Article
15 - Developing a Prediction-Based Stock Returns and Portfolio Optimization Model
Farzad Eivani Davood Jafari Seresht Abbas Aflatooni -
Open Access Article
16 - Providing a New Technique in Portfolio Selection by and Genetic Algorithm and Fuzzy Synthetic Evaluation
Taghi Torabi Reza Radfar Mohammadreza Motadel Nazanin Pilevari Amirmohammad MohtashamThe purpose of this paper is to present a new technique to the portfolio selection using Genetic Algorithm and Fuzzy Synthetic Evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach (Genetic A MoreThe purpose of this paper is to present a new technique to the portfolio selection using Genetic Algorithm and Fuzzy Synthetic Evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach (Genetic Algorithm and Fuzzy Synthetic Evaluation) solves the problem in two stages. In the first stage، by using genetic algorithm and fuzzy synthetic evaluation، weight of criteria will be calculated. In second stage، using Fuzzy Synthetic Evaluation، Portfolios will be prioritized. A multi objective genetic algorithm is used to determine return and risk in the efficient frontier in Tehran stock market. In this research, we have used of firms’ performance between 1396-1400 in chemical industries in order to determine portfolio selection. The main advantage of proposed approach is help an investor to find a portfolio which have Best performance، portfolio selection doesn’t rely to expert knowledge. Manuscript profile -
Open Access Article
17 - The project portfolio selection and scheduling problem: mathematical model and algorithms
Bahman Naderi -
Open Access Article
18 - Project Portfolio Selection with the Maximization of Net Present Value
Mostafa Nikkhah Nasab Amir Abbas Najafi -
Open Access Article
19 - A Fuzzy Goal Programming Model for Efficient Portfolio Selection.
Abolfazl Kazemi Ali Shakourloo Alireza Alinezhad -
Open Access Article
20 - Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
Alireza Alinezhad Majid Zohrehbandian Meghdad Kian Mostafa Ekhtiari Nima Esfandiari -
Open Access Article
21 - Portfolio Selection using Data Envelopment Analysis with common weights
A. علینژاد M. Zohrebandian ف. دهدار -
Open Access Article
22 - An investigation of model selection criteria for technical analysis of moving average
Milad Jasemi Ali M Kimiagari -
Open Access Article
23 - Multi-period project portfolio selection under risk considerations and stochastic income
Ali Asghar Tofighian Hamid Moezzi Morteza Khakzar Barfuei Mahmood Shafiee -
Open Access Article
24 - Portfolio selection through imprecise Goal Programming model: Integration of the manager`s preferences
N Mansour A Rebai B Aouni -
Open Access Article
25 - A fuzzy random multi-objective approach for portfolio selection
M.B Aryanezhad H Malekly M Karimi-Nasab -
Open Access Article
26 - Primal and dual robust counterparts of uncertain linear programs: an application to portfolio selection
P Hanafizadeh A Seifi K Ponnambalam -
Open Access Article
27 - Solving a bi-objective project capital budgeting problem using a fuzzy multi-dimensional knapsack
A Khalili-Damghani M Taghavifard -
Open Access Article
28 - Application of Threshold-based Filtered Networks in Stock Portfolio Selection and Performance Evaluation
Marzieh Noorahmadi Hojatullah SadeghiAbstract Network analysis is one of the methods of attention of analysts to analyze complex relationships in data in an intuitive way. One of the applications of network analysis is illustrating the relationships between different classes of assets. Identifying stock m MoreAbstract Network analysis is one of the methods of attention of analysts to analyze complex relationships in data in an intuitive way. One of the applications of network analysis is illustrating the relationships between different classes of assets. Identifying stock market dynamics is essential for actors, investors, and financial policymakers. The stock market is considered a complex system that shows its complex dynamics. The complexity of the stock market can have several reasons that the interdependence of stocks can be one of the most prominent of these factors. One of the most important concerns of people in the capital market is finding a way to present and analyze stock data of different companies. There are different companies in the stock market and portfolio managers and investors, in choosing the right stock portfolio, need to consider the best way to form a stock portfolio. This article discusses the formation of diverse and non-diverse portfolios through network theory. To conduct this research, the adjusted final price of 138 listed companies for the period 2017-01-01 to 2021-07-06, equivalent to 1648 trading days, has been used. To describe the effect between stocks, the Adjacency Matrix is used and using the optimal threshold, diverse and non-diverse portfolios are obtained. We implement the results of selected stocks for the portfolio using the Hierarchical Risk Parity (HRP) approach based on clustering methods and the results with three methods of Minimum Variance (MVP), Uniform Distribution (UNIF), and Risk Parity (RP) for both in-sample and out-of-sample periods are compared for both diverse and non-diversified portfolios. Finally, the results have been compared using the four criteria of Sortino, Sharpe, Maximum DD, and Calmar. The results show the superiority of the non-diversified portfolio approach in market downturns and the superiority of the diversified portfolio approach in other periods. Manuscript profile -
Open Access Article
29 - Investigation of Mean-variance efficiency frontier patterns of portfolios under possible theory
Behnaz Ghadimi Mehrzad Minouei Gholamreza Zomorodian Mirfeiz FallahOne of the most important problems of the proposed methods in measuring the portfolio Efficiency frontier patterns is not considering the uncertainty in financial variables such as risk and return. In this regard, the development of various optimization theories and Ext MoreOne of the most important problems of the proposed methods in measuring the portfolio Efficiency frontier patterns is not considering the uncertainty in financial variables such as risk and return. In this regard, the development of various optimization theories and Extract optimal efficiency frontier of a portfolio in financial sciences to understand and identify aspects of uncertainty in the decision environment and possible events in space of uncertainty and ambiguity of capital markets have been invented and developed. Among the theories proposed in terms of uncertainties, the theory of possibility can be considered the most appropriate and accurate theory in interpreting and proving uncertainties in stock portfolio optimization. For this reason in the forthcoming research to further adapt portfolio optimization models And recognizing the efficient space congruous to reality to extract returns and portfolio risk by mathematical inference in an uncertainty space with emphasis on possible theory. In this study of the concept of fuzzy random variable and fuzzy theory and Fuzzy obligation, In order to cover the uncertainty existing in Cognition and determine the efficiency frontier Mean - portfolio variance Used under the theory of possibility. Manuscript profile -
Open Access Article
30 - Multi-objective portfolio selection with multi-stage stochastic programming
Hamed Asgari javad BehnamianIn this paper, a multi objective multi stage stochastic model is proposed to portfolio selection. This model takes into account both the investment goal and risk control at each stage. A scenario generation method is proposed that acts as the basis of the portfolio mana MoreIn this paper, a multi objective multi stage stochastic model is proposed to portfolio selection. This model takes into account both the investment goal and risk control at each stage. A scenario generation method is proposed that acts as the basis of the portfolio management model. Scenarios for multistage portfolio management are proposed that use by consumption that rate of returns are not correlated during stages. One of the most important aspects of this model is using transaction cost in model and providing this ability that investors could add or withdrawal cash during time. In the end some numerical example are illustrated and model effectiveness proved. As is presented using stochastic programming with recourse and combination of this model with scenario generation model provides this possibility for investors to plan their medium and short term investing. As can be seen result of the model proved effectiveness of the model in financial markets. As result presented having such tool that investor could adjust his or her portfolio during time according to targets such as maximizing rate of return and minimizing risk of his or her decisions could bring powerful superiority in competitive financial markets. Manuscript profile -
Open Access Article
31 - A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange
Soghra Rezaei Mohsen Vaez-GhasemiIn today's highly competitive world, the condition of survival and participation in the field of activity, functioning and efficient and effective, is not achieved except through continuous planning, monitoring, control and evaluation. In this regard, we tried to presen MoreIn today's highly competitive world, the condition of survival and participation in the field of activity, functioning and efficient and effective, is not achieved except through continuous planning, monitoring, control and evaluation. In this regard, we tried to present a mathematical hybrid model for selecting and planning an optimal composition of the shares according to the goals and priorities, in order to obtain the highest compatibility between the final selection and the initial ranking of each share. The proposed model consists of three steps and several steps, the SBM method of data envelopment analysis (DEA) (for initial stock revisions, multi-factor decision-making (TOPSIS)) in uncertainty conditions, for the assessment and ranking of shares in two individual steps and categorized and integer linear programming (IP) for choosing the best stock portfolio with increased scores according to the organization's priorities and constraints. Collect information from reputable sites of five industries active automotive, pharmacy, petrochemical, cement and food industries to the best stock portfolio for investment, due to the impact of algorithms and methods. Manuscript profile -
Open Access Article
32 - A prediction-based portfolio optimization model using support vector regression
Mohammad Amin Monadi Amirabbas NajafiThe purpose of portfolio optimization is to select an optimal combination of financial assets, which should be a guide for investors to achieve the highest returns against the lowest possible risk. On the other hand, one of the key factors in portfolio optimization deci MoreThe purpose of portfolio optimization is to select an optimal combination of financial assets, which should be a guide for investors to achieve the highest returns against the lowest possible risk. On the other hand, one of the key factors in portfolio optimization decisions is related to predict the stock prices. To do this, classical nonlinear mathematical and intelligent models such as regression are commonly used. In the present study, a nonlinear model of support vector regression with multiple outputs is applied to reduce the prediction errors. To show the effectiveness of the proposed model, the data of S & P500 index companies in the period 12/09/2016 to 02/08/2021 is used. The results show that the selection of a portfolio based on prediction using multiple vector backup regression due to considering the relationships between outputs simultaneously in terms of Sharp criteria has a better performance than the selection of portfolio based on prediction using regression method. Manuscript profile -
Open Access Article
33 - Market failure using the basket recommended by the Coalition
Peyman Tataei fraydoon Rahnamay RoodposhtiSpecial mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). Severa MoreSpecial mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). Several approaches have been produced to the Portfolio selection problem, which became popular among researchers with the article of Harry M. Markowitz, published in Journal of finance in 1952, which occupies an essential place in the literature. Canonical Coalition Game Theory is among these approaches. In this paper the optimality of a portfolio partnership which will be created by each player’s strategies (stocks) with identical targets but different Beta capabilities will be examined first with a zero-sum game and then with establishing a coalition among different Beta groups(players). The obtained optimal gain will be distributed to each stock using Shapley vector. As a result the performance of the model’s portfolio was positive and better than market performance which resulted negative return during testing period. Manuscript profile -
Open Access Article
34 - Multiperiod portfolio selection with higher-order moment
reza tehrani saeed Fallahpour Mohammad reza Rostami mehdi biglari kamirisk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection Morerisk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection method in order to maximize investors utility. In this model we used not only variance but also higher order moment –skewness- for optimization. For emprical test of the model we used return of first 50 companies stored by market capitalization in tehran stock exchange during 1386-1395. We used skewness & transaction cost to introduce a moltipriod model in asset allocation to minimize variance of investors utility. Comparing the result of this model with markowitz model & simpel model considering investor preferences shows that based on performance evaluation criteria, the suggested model perform much better than the two other. Manuscript profile -
Open Access Article
35 - Evolutionary 4-Objective Optimization Portfolio Algorithms for fuzzy and non-fuzzy selection
Mohammad javad Salimi Mohammad Taghi Taqhavi Fard Mirfeiz Fallahshams Hadi Khajezadeh DezfuliIn choosing the optimal portfolio, we must consider various criteria, some of which are determined by the nature of the optimization and some are determined by the investor's desire. Therefore, in this paper, multi-objective optimization models are designed and solved i MoreIn choosing the optimal portfolio, we must consider various criteria, some of which are determined by the nature of the optimization and some are determined by the investor's desire. Therefore, in this paper, multi-objective optimization models are designed and solved in MATLAB software environment. These models are designed in such a way that both the nature of the portfolio optimization, the considerations of the investor and the uncertain nature of the future return on assets, are taken into account. After designing the models in fuzzy and non-fuzzy (simple) conditions, due to their NP-HARD nature, a dedicated NSGA-II algorithm was used to solve it. After solving the models, the best portfolio from attained Pareto frontier, based on the Sortino ratio, be chosen. After that all of the obtained portfolios are compared according to the Treyner ratio. The results of statistical tests clearly show that the proposed models have a high power in choosing portfolios with maximum returns and a minimum risk. The results also indicate that that the designed models, with use of fuzzy logic in quadratic models creates more favorable results than simple models without using possibility theory and fuzzy logic. Manuscript profile -
Open Access Article
36 - Spin Glasses, the way to Distributed Processing Case Study on Stock Market Portfolio Selection
Majid Vafaei Jahan mohammadreza Akbarzadeh TutunchiThe several heuristic algorithms have been proposed for portfolio selection. One of these algorithms is based on spin glasses that have local searching and parallel processing properties. Because of the spin glass algorithms are actually based on Monte Carlo simulation MoreThe several heuristic algorithms have been proposed for portfolio selection. One of these algorithms is based on spin glasses that have local searching and parallel processing properties. Because of the spin glass algorithms are actually based on Monte Carlo simulation such as simulated annealing (SA) and have low convergence speed against other method, yet composing with other methods such as Learning Automata (LA) and genetic algorithms have been considered. In this paper, one of the composing methods based on SA and Exteremal Optimization (EO) has been proposed, this algorithm select and change the low order spins with higher probability and take the state of all spins into the better situation. After a sufficient number of steps, the system reaches a highly correlated that almost all species have reached fitness above a certain threshold. This co-evolutionary activity gives rise to chain reactions and every fluctuation that rearrange major parts of the system, potentially making any configuration accessible. Therefore any fluctuations allow escaping from local minima and efficiently explore the configuration space. The experimental results show this method is powerful paradigm for finding ground state of spin glass and better than other methods such as SA and LA for solving portfolio selection problem. Manuscript profile -
Open Access Article
37 - Investment portfolio optimization using value at risk under credibility theory with Z-numbers approach
Amirsina Jirofti Amirabbas NajafiZ-numbers theory was proposed in 2011 by Lotfy Zadeh. This theory describe the uncertainty of information where any z-number is displayed by a pair of fuzzy number. Because of the uncertainty in the financial markets, this theory can be used in the investment portfolio MoreZ-numbers theory was proposed in 2011 by Lotfy Zadeh. This theory describe the uncertainty of information where any z-number is displayed by a pair of fuzzy number. Because of the uncertainty in the financial markets, this theory can be used in the investment portfolio selection. As the first component of z-number is the fuzzy asset return and the second component is reliability of prediction of first component. We can use value at risk criterion for increasing efficiency of investment portfolio selection model. Due to consideration the uncertainty in asset returns and using value at risk, this model is an appropriate model for investment portfolio selection. The advantage of this method compared to the conventional fuzzy method is consideration uncertainty of expert knowledge and allocation reliability to their prediction of fuzzy parameter. Finally, we provide a numerical example from Tehran stock market. Manuscript profile -
Open Access Article
38 - Presenting a Hybrid Model based on Fuzzy Prioritization Method and COPRAS for Portfolio Selection in Tehran Stock Exchange
Mohammad Reza Fathi Omid Faraji Omran Karimi JoughiPortfolio selection is one of the most important issues of investment in the research using operational research techniques and taking into account the criteria, we extract the appropriate portfolio in Tehran Stock Exchange. Accordingly, on the basis of financial criter MorePortfolio selection is one of the most important issues of investment in the research using operational research techniques and taking into account the criteria, we extract the appropriate portfolio in Tehran Stock Exchange. Accordingly, on the basis of financial criteria in portfolio choice literature and experts to identify and prioritize using fuzzy metrics to gain weight. Then, using multi-criteria decision-making methods copras as a new method, stocks ranked. According to the results of three Mobarakeh Steel Company, propulsion and cement north respectively ranked first, second and third. Rank schemes are also used to compare the results of TOPSIS technique has also been used. According to the results of copras, Mobarakeh Steel Company first position and based on results of topsis, Machin Sazi Arak have achieved the first rank. Manuscript profile -
Open Access Article
39 - Online Portfolio Selection Using Spectral Pattern Matching
Matin Abdi amirabbas najafiNowadays, due to the rise of turnover and pace of trading in financial markets, accelerating of analysis and making decision is unavoidable. Humans are unable to analyze big data quickly without behavioral biases. Hence, financial markets tend to apply algorithmic tradi MoreNowadays, due to the rise of turnover and pace of trading in financial markets, accelerating of analysis and making decision is unavoidable. Humans are unable to analyze big data quickly without behavioral biases. Hence, financial markets tend to apply algorithmic trading in which some techniques like data mining and machine learning are notable. Online Portfolio Selection (OLPS) is one of the most modern techniques in algorithmic trading. OLPS allocates capital to a number of stocks and updates portfolio at the beginning of each period by some techniques. Actually, individual has no role in portfolio selection and the algorithm determines the way of investing in each period. In this article, an algorithm which follows pattern matching principle has been introduced. In pattern matching principle, the portfolio is selected based on identical historical patterns and in this article these patterns are found by spectral clustering in data mining. At the end of article, there is a numerical example which uses the most 20 active stocks in New York Stock Exchange (NYSE) data and its results has been compared with other algorithms in this topic. Manuscript profile -
Open Access Article
40 - Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect
mohammad firouzdehghan Hadi Saeidi Shaban Mohammadi ghasem elahi An investor Constant relative risk aversion. pursues two goals of expected utility increases and reduces expected portfolio liquidity expectations. In the current study, the Constant relative risk aversion. utility using actual portfolio fluctuations, real asymmet More An investor Constant relative risk aversion. pursues two goals of expected utility increases and reduces expected portfolio liquidity expectations. In the current study, the Constant relative risk aversion. utility using actual portfolio fluctuations, real asymmetry, real elongation of graphs and non-liquidity The portfolios were measured using the non-liquidity rate. Therefore, it is possible to directly select the options of the investor in the two-dimensional expected utility / liquidity space. This research was analyzed by using high frequency data on a set of 40 shares of Tehran Stock Exchange from 2011 to 2017 using MATLAB software and time retrieval methods were used for daily synchronization of transactions. Considering the expected returns of the portfolio and the expected liquidity over the minimum variance and the same weighted portfolio, the power coverage of this model is examined. The results show that in the different risk-incompatible levels, the expected liquidity of the expected portfolio is highly competitive and seems appropriate in terms of usefulness, liquidity, and expected utility, relative to the benchmark. Manuscript profile
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