پیاده‌سازی رویکرد استوار نسبی برای انتخاب پرتفوی بهینه در بورس اوراق بهادار تهران با استفاده از برنامه‌ریزی مخروطی مرتبه دوم

References

Bagheri Naghneh, A., Davoodi, S. M., & Mirsalehi Borojeni, V. (2020, September). Optimize the relative strength of the portfolio portfolio by taking into account the regret criteria. Paper presented at the second International Conference on innovations in Bussiness administration and Economics, Tehran, Iran. (in Persian)

Bertsimas, D., & Sim, M. (2004). The price of robustness. Operations research, 52(1), 35-53.

Bertsimas, D., & Thiele, A. (2006). Robust and Data-Driven Optimization: Modern Decision Making Under Uncertainty. Models, Methods, and Applications for Innovative Decision Making, (March), 95-122.

Caçador, S. C., Godinho, P. M. C., & Dias, J. M. P. C. M. (2020). A minimax regret portfolio model based on the investor’s utility loss. Operational Research, 22, 449-484.

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.

Cornuejols, G., Pena, J., & Tütüncü, R. (2018). Optimization methods in finance (2th Ed.). Cambridge University Press.

Didar, H., & Beiki, K. (2017). Reviewing the Effect of Corporate Governance Quality on Relationship between Capital Structure and Additional Return on Companies Listed in Tehran Stock Exchang. Journal of the Iranian Accounting and Auditing Review, 24(2), 197-220. (in Persian)

Eslami-Bidgoli, G., & Sarenj, A. (2009). Portfolio Selection Using Return Mean, Return Standard Deviation and Liquidity in Tehran Stock Exchange. Journal of the Iranian Accounting and Auditing Review, 15(4), 3-16. (in Persian)

Fallahpour, S., & Tondnevis, F. (2014). Robust model for optimal portfolio selection. Investment science, 3(10), 67-84. (in Persian)

Hauser, R., Krishnamurthy, V., & Tütüncü, R. (2013). Relative robust portfolio optimization. arXiv preprint arXiv:1305.0144.

Kouvelis, P., & Yu, G. (1997). Robust Discrete Optimization and Its Applications. Springer Science & Business Media.

Li, J., & Wang, L. (2020). A minimax regret approach for robust multi-objective portfolio selection problems with ellipsoidal uncertainty sets. Computers & Industrial Engineering, 147, 106646.

Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91.

Mohammadi, S. E., & Mohammadi, E. (2018). Robust portfolio optimization based on minimax regret approach in Tehran stock exchange market. Journal of Industrial and Systems Engineering, 11(Special issue: 14^th International Industrial Engineering Conference), 51-62.

MOSEK ApS. (2021, March 18). MOSEK Modeling Cookbook. Mosek. https://docs.mosek.com/modeling-cookbook/index.html

Mulvey, J. M., Vanderbei, R. J., & Zenios, S. A. (2008). Robust Optimization of Large-Scale Systems. Operations Research, 43(2), 264-281.

Raei, R. (2006). Risky Portfolio Selection through Neural Networks. Journal of the Iranian Accounting and Auditing Review, 13(4), 70-83. (in Persian)

Raei, R., & Hashemi, S. M. A. (2016). Robust Asset Allocation Based on Forecasts of Econometric Methods (ARMA & GARCH) and Uncertainty for Return & Covariance. Financial Research Journal, 18(3), 415-436. (in Persian)

Simões, G., McDonald, M., Williams, S., Fenn, D., & Hauser, R. (2018). Relative Robust Portfolio Optimization with benchmark regret. Quantitative Finance, 18(12), 1991–2003.

Soyster, A. L. (1973). Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming. Operations Research, 21(5), 1154–1157.

Tütüncü, R. H., & Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1), 157-187.

Xidonas, P., Hassapis, C., Soulis, J., & Samitas, A. (2017). Robust minimum variance portfolio optimization modelling under scenario uncertainty. Economic Modelling, 64, 60-71.

Xidonas, P., Mavrotas, G., Hassapis, C., & Zopounidis, C. (2017). Robust multiobjective portfolio optimization: A minimax regret approach. European Journal of Operational Research, 262(1), 299-305.