تعداد نشریات | 161 |
تعداد شمارهها | 6,532 |
تعداد مقالات | 70,504 |
تعداد مشاهده مقاله | 124,121,531 |
تعداد دریافت فایل اصل مقاله | 97,228,640 |
Portfolio Selection Optimization Problem Under Systemic Risks | ||
Advances in Industrial Engineering | ||
دوره 54، شماره 2، تیر 2020، صفحه 121-140 اصل مقاله (695.65 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22059/jieng.2021.321882.1759 | ||
نویسندگان | ||
Mohammad Ali Dehghan Dehnavi؛ Mohammad Mahdi Bahrololoum* ؛ Moslem Peymany Foroushany؛ Sayyed Ali Raeiszadeh | ||
Department of Finance and Banking, Faculty of Accounting and Management Allameh Tabataba`i University, Tehran, Iran | ||
چکیده | ||
Abstract: Portfolio selection is of great importance among financiers, who seek to invest in a financial market by selecting a portfolio to minimize the risk of investment and maximize their profit. Since there is a covariant among portfolios, there are situations in which all portfolios go high or down simultaneously, known as systemic risks. In this study, we proposed three improved meta-heuristic algorithms namely, genetic, dragonfly, and imperialist competitive algorithms to study the portfolio selection problem in the presence of systemic risks. Results reveal that our Imperialist Competitive Algorithm are superior to Genetic algorithm method. After that, we implement our method on the Iran Stock Exchange market and show that considering systemic risks leads to more robust portfolio selection. . Results reveal that our Imperialist Competitive Algorithm are superior to Genetic algorithm method. After that, we implement our method on the Iran Stock Exchange market and show that considering systemic risks leads to more robust portfolio selection. | ||
کلیدواژهها | ||
Portfolio Selection؛ Systemic Risks؛ Genetic Algorithm؛ Imperialist Competitive Algorithm | ||
مراجع | ||
[1] Abdelaziz, F. B., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811-1823.
[2] Abdelaziz, F. B., El Fayedh, R., & Rao, A. (2009). A discrete stochastic goal program for portfolio selection: The case of United Arab Emirates equity market. INFOR: Information Systems and Operational Research, 47(1), 5-13.
[3] Abdelaziz, F. B., & Masmoudi, M. (2014). A multiple objective stochastic portfolio selection problem with random Beta. International Transactions in Operational Research, 21(6), 919-933.
[4] Atashpaz-Gargari, E. and Lucas, C. Imperialist competitive algorithm: an algorithm for optimization inspired by imperialistic competition. in 2007 IEEE congress on evolutionary computation. 2007. Ieee.
[5] Biglova, A., Ortobelli, S., & Fabozzi, F. J. (2014). Portfolio selection in the presence of systemic risk. Journal of Indicator Management, 15(5), 285-299.
[6] Caçador, S., Dias, J. M., & Godinho, P. (2021). Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions. International Transactions in Operational Research, 28(3), 1296-1329.
[7] Chen, S., & Ge, L. (2021). A learning-based strategy for portfolio selection. International Review of Economics & Finance, 71, 936-942.
[8] Di Tollo, G., & Roli, A. (2008). Metaheuristics for the portfolio selection problem. International Journal of Operations Research, 5(1), 13-35.
[9] Dubois D., H. Prade, (1988). Furzy Sets and Systems: Theory and Applications, Academic Press, New York.
[10] Frej, E. A., Ekel, P., & de Almeida, A. T. (2021). A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information. Information Sciences, 545, 487-498.
[11] Garcia, F., González-Bueno, J., Oliver, J., & Tamošiūnienė, R. (2019). A credibilistic mean-semivariance-PER portfolio selection model for Latin America. Journal of Business Economics and Management, 20(2), 225-243.
[12] Gen, M. and R. Cheng, Genetic algorithms and engineering optimization. Vol. 7. 1999: John Wiley & Sons.
[13] Ghahtarani, A., & Najafi, A. A. (2013). Robust goal programming for multi-objective portfolio selection problem. Economic Modelling, 33, 588-592.
[14] Goldberg, D.E., Genetic algorithms in search, optimization, and machine learning. Addison. Reading, 1989.
[15] Holland, J.H., Genetic algorithms. Scientific American, 1992. 267(1): p. 66-73.
[16] Kocada ˘glı, R. Keskin, (2015). A novel portfolio selection model based on fuzzy goal programming with different im portance and priorities, Expert Syst. Appl. 42 (20), 6,898-6,912.
[17] Landsman, Z., Makov, U., & Shushi, T. (2018). A generalized measure for the optimal portfolio selection problem and its explicit solution. Risks, 6(1), 19.
[18] Li, X., Huang, Y. H., Fang, S. C., & Zhang, Y. (2020). An alternative efficient representation for the project portfolio selection problem. European Journal of Operational Research, 281(1), 100-113.
[19] Li, X., Wang, Y., Yan, Q., & Zhao, X. (2019). Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility. Fuzzy Optimization and Decision Making, 18(1), 37-56.
[20] Li, T., Zhang, W., & Xu, W. (2015). A fuzzy portfolio selection model with background risk. Applied Mathematics and Computation, 256, 505-513.
[21] Li, B., Zhu, Y., Sun, Y., Aw, G., & Teo, K. L. (2018). Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint. Applied Mathematical Modelling, 56, 539-550.
[22] Liu B., Y. Liu, (2002). Expected value of fuzzy variable and fuzzy expected value models, IEEE Trans. Fuzzy Syst. 10, 445–450.
[23] Liu Y., B. Liu, (2003). A class of fuzzy random optimization: expected value models, Inf. Sci. 155 (1), 89–102.
[24] Masoudi, M., & Abdelaziz, F. B. (2018). Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models. Annals of Operations Research, 267(1), 335-352.
[25] Mirjalili, S. (2016). Dragonfly algorithm: a new meta-heuristic optimization technique for solving single-objective, discrete, and multi-objective problems. Neural Computing and Applications, 27(4), 1053-1073.
[26] Mokhtarzadeh, M., Tavakkoli-Moghaddam, R., Triki, C., & Rahimi, Y. (2021). A hybrid of clustering and meta-heuristic algorithms to solve a p-mobile hub location–allocation problem with the depreciation cost of hub facilities. Engineering Applications of Artificial Intelligence, 98, 104121.
[27] Markowitz H., (1952) Portfolio selection, J. Finance 7 (1) 77–91.
[28] Markowitz H. (1959). Portfolio Selection: Efficient Diversification of Investments, John Wiley & Sons.
[29] Montajabiha, M., Khamseh, A. A., & Afshar-Nadjafi, B. (2017). A robust algorithm for project portfolio selection problem using real options valuation. International Journal of Managing Projects in Business.
[30] Najafi, A. A., & Pourahmadi, Z. (2016). An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions. Physica A: Statistical Mechanics and its Applications, 448, 154-162.
[31] Nahmias S., (1978). Fuzzy variables, Fuzzy Sets Syst. 1 (2) (1978) 97–110.
[32] Rabbani, M., Heidari, R., & Farrokhi-Asl, H. (2018a). A bi-objective mixed-model assembly line sequencing problem considering customer satisfaction and customer buying behaviour. Engineering Optimization, 50(12), 2123-2142.
[33] Rabbani, M., Mokhtarzadeh, M., & Farrokhi-Asl, H. (2018b). A new mathematical model for designing a municipal solid waste system considering environmentally issues. International Journal of Supply and Operations Management, 5(3), 234-255.
[34] Relich, M. (2021). Model for Formulating Decision Problems Within Portfolio Management. Decision Support for Product Development (pp. 27-50). Springer, Cham.
[35] Roy A.D. (1952) Safety-first and holding of assets, Economics 20, 431–449.
[36] Schroeder, P., Kacem, I., & Schmidt, G. (2019). Optimal online algorithms for the portfolio selection problem, bi-directional trading and-search with interrelated prices. RAIRO-Operations Research, 53(2), 559-576.
[37] Taguchi, G. (1986). Introduction to quality engineering: designing quality into products and processes (No. 658.562 T3).
[38] Xu J., X. Zhou, S. Li. (2011). A class of chance constrained multi-objective portfolio selection model under fuzzy random environment, J. Optim. Theory Appl. 150 (3), 530–552.
[39] Zadeh L.A. (1965). Furzy sets, Inf. Control 8, 338–353.
[40] Zhang, Y., Gong, D. W., Sun, X. Y., & Guo, Y. N. (2017). A PSO-based multi-objective multi-label feature selection method in classification. Scientific reports, 7(1), 1-12.
[41] Zhao, P., & Xiao, Q. (2016). Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics. Journal of computational and applied mathematics, 298, 64-71.
[42] Zhou, X., Wang, J., Yang, X., Lev, B., Tu, Y., & Wang, S. (2018). Portfolio selection under different attitudes in fuzzy environment. Information Sciences, 462, 278-289. | ||
آمار تعداد مشاهده مقاله: 426 تعداد دریافت فایل اصل مقاله: 605 |