A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm
This study analyzes the portfolio optimization model, by considering the financial management and investment science in order to evaluate risks and return in regard with restrictions such as buyers’ assets for purchasing per share. Accordingly, a novel model is designed as linear programming in orde...
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| Format: | Article |
| Language: | fas |
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University of Qom
2022-03-01
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| Series: | مدیریت مهندسی و رایانش نرم |
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| Online Access: | https://jemsc.qom.ac.ir/article_1294_39b51e4bd6ddf05eadcbb9b98027bd40.pdf |
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| _version_ | 1832577578589749248 |
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| author | Mohammad Moshrefi Javad Behnamian |
| author_facet | Mohammad Moshrefi Javad Behnamian |
| author_sort | Mohammad Moshrefi |
| collection | DOAJ |
| description | This study analyzes the portfolio optimization model, by considering the financial management and investment science in order to evaluate risks and return in regard with restrictions such as buyers’ assets for purchasing per share. Accordingly, a novel model is designed as linear programming in order to optimize the investment portfolio, considering the expected rate of return, the minimum risk, and the buyer’s assets. After the introduction of the model as linear programming and expressing the related limitations, different types of investments which an investor can consider in order to form an investment portfolio were studied. Finally, an approach is proposed to solve the model by using the genetic algorithm, and is implemented and analyzed in regard with a real example. According to the results of this study, the new model reduced downside risk in comparison with previously proposed models, in a manner that its stair descent continues as the number of shares under study increases. |
| format | Article |
| id | doaj-art-4038cb14df88454ead7c455b65528a66 |
| institution | Kabale University |
| issn | 2538-6239 2538-2675 |
| language | fas |
| publishDate | 2022-03-01 |
| publisher | University of Qom |
| record_format | Article |
| series | مدیریت مهندسی و رایانش نرم |
| spelling | doaj-art-4038cb14df88454ead7c455b65528a662025-01-30T20:18:14ZfasUniversity of Qomمدیریت مهندسی و رایانش نرم2538-62392538-26752022-03-0181497010.22091/jemsc.2019.12941294A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic AlgorithmMohammad Moshrefi0Javad Behnamian1industrial engineering/ Bu ali Sina university/ Hamedan- IranAssociate Professor, Department of Industrial Engineering, Faculty of Engineering, Bu-Ali Sina University, Hamedan, IranThis study analyzes the portfolio optimization model, by considering the financial management and investment science in order to evaluate risks and return in regard with restrictions such as buyers’ assets for purchasing per share. Accordingly, a novel model is designed as linear programming in order to optimize the investment portfolio, considering the expected rate of return, the minimum risk, and the buyer’s assets. After the introduction of the model as linear programming and expressing the related limitations, different types of investments which an investor can consider in order to form an investment portfolio were studied. Finally, an approach is proposed to solve the model by using the genetic algorithm, and is implemented and analyzed in regard with a real example. According to the results of this study, the new model reduced downside risk in comparison with previously proposed models, in a manner that its stair descent continues as the number of shares under study increases.https://jemsc.qom.ac.ir/article_1294_39b51e4bd6ddf05eadcbb9b98027bd40.pdfanalytic hierarchy process (ahp)genetic algorithmportfolio optimization |
| spellingShingle | Mohammad Moshrefi Javad Behnamian A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm مدیریت مهندسی و رایانش نرم analytic hierarchy process (ahp) genetic algorithm portfolio optimization |
| title | A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm |
| title_full | A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm |
| title_fullStr | A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm |
| title_full_unstemmed | A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm |
| title_short | A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm |
| title_sort | multi objective approach to portfolio optimization problem using the analytic hierarchy process ahp and genetic algorithm |
| topic | analytic hierarchy process (ahp) genetic algorithm portfolio optimization |
| url | https://jemsc.qom.ac.ir/article_1294_39b51e4bd6ddf05eadcbb9b98027bd40.pdf |
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