تعداد نشریات | 161 |
تعداد شمارهها | 6,532 |
تعداد مقالات | 70,501 |
تعداد مشاهده مقاله | 124,098,635 |
تعداد دریافت فایل اصل مقاله | 97,206,261 |
گزینش سبد بهینۀ سرمایهگذاری با بهکارگیری مدل توسعهیافتۀ چندهدفه مارکویتز و الگوریتم جستوجوی هارمونی | ||
تحقیقات مالی | ||
مقاله 20، دوره 18، شماره 3، آذر 1395، صفحه 483-504 | ||
نوع مقاله: مقاله علمی پژوهشی | ||
شناسه دیجیتال (DOI): 10.22059/jfr.2016.62452 | ||
نویسندگان | ||
خداکرم سلیمی فرد* 1؛ ابراهیم حیدری2؛ زهرا مرادی3؛ رضا مغدانی4 | ||
1دانشیار تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران | ||
2دانشیار اقتصادسنجی، گروه اقتصاد، دانشگاه خلیج فارس، بوشهر، ایران | ||
3کارشناس ارشد تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران | ||
4دانشجوی دکتری تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران | ||
چکیده | ||
مدل مارکویتز یکی از شناختهشدهترین مدلهای انتخاب سبد سرمایهگذاری است. در این پژوهش مدل توسعهیافتۀ میانگین ـ نیم واریانس مارکویتز در قالب یک مدل برنامهریزی غیرخطی چندهدفۀ عدد صحیح آمیخته با محدودیتهای کاردینال، حد آستانه، بخش سرمایهگذاری، آنتروپی و نیز با در نظر گرفتن هزینۀ معاملاتی پیشنهاد شده است. مدل مسئله دارای ساختاری آمیختاری است. از این رو با توجه به ویژگی NP-hard مسئله، الگوریتم فراابتکاری جستوجوی هارمونی با رویکرد پارتو برای حل مدل بهکار گرفته شده است. برای بررسی کاربردپذیری مدل پیشنهادی در مسئلۀ بهینهسازی سبد سهام، با استفاده از اطلاعات قیمت ده سهم پذیرفتهشده در بورس اوراق بهادار در محدوده زمانی فروردین 1390 تا دی ماه 1394، مرز کارای سرمایهگذاری بهدست آمد. برونداد مدل نشاندهندۀ کارایی الگوریتم جستوجوی هارمونی در بهینهسازی مدل پژوهش است. یافتههای پژوهش نشان میدهد مدل پیشنهادی توانسته است شرایط انتخاب سبد سرمایهگذاری را به خوبی در نظر بگیرد و یک سبد بهینۀ سرمایهگذاری را تعیین کند | ||
کلیدواژهها | ||
الگوریتم جستوجوی هارمونی؛ بهینهسازی سبد سرمایهگذاری؛ رویکرد پارتو؛ مدل مارکویتز | ||
عنوان مقاله [English] | ||
Selecting Optimal Portfolio Using Multi-objective Extended Markowitz Model and Harmony Search Algorithm | ||
نویسندگان [English] | ||
Khodakaram Salimifard1؛ Ebrahim Heidari2؛ Zahra Moradi3؛ Reza Moghdani4 | ||
1Persian Gulf UniveAssociate Prof. in Operations Research, University of the Persian Gulf, Booshehr, Iranrsity | ||
2Associate Prof. of Econometrics, University of the Persian Gulf, Booshehr, Iran | ||
3MSc. in Operations Research, University of the Persian Gulf, Booshehr, Iran | ||
4PhD. Candidate in Operations Research, University of the Persian Gulf, Booshehr, Iran | ||
چکیده [English] | ||
Morkowitz model is one of the well-known models in portfolio selection problem. This paper presents an extended version of Markowitz mean semi variance portfolio selection model. The extended model considers sets of constraints including cardinality, bounds on holdings, sector capitalization, an entropy constraints. It also considers transaction costs. The problem model has a combinatorial structure. Due to the NP-hard characteristic of the resulting mathematical model, Harmony Search Meta-heuristic algorithm was used to solve the model. Since the proposed mathematical model is a multi-objective one, the Pareto solution approach was applied. To investigate the applicability of the proposed model, a data set of ten stocks from Tehran Stock Exchange, from March 2011 to December 2015, is used as a case study. The obtained efficient frontier indicates the applicability of the harmony algorithm in the optimization model. Research results show that the proposed model is efficiently is capable to consider the investment portfolio requirements quite well. | ||
کلیدواژهها [English] | ||
Portfolio optimization, Markowitz Model, Harmony Search Algorithm, Pareto approach | ||
سایر فایل های مرتبط با مقاله
|
||
مراجع | ||
Abzari, M., Dadashpor, A., Khalili, M., Jamshidi, H. (2015). A Single Period Multi Objective Mathematical Model for Portfolio. Poduction and operations management, 5(2), 75-92. (in Persian) Abzari, M., Ketabi, S., Abbasi, A. (2005). Portfolio optimization through linear programming methods and proposing an applied model. Journal Social Sciences and Humanities of Shiraz University, 2(43), 1-17. (in Persian) Abzari, M., Samadi, S., Teimury, H. (2007). Investigating the effective factors on risk and return of financial products investement. Ravand, 54,123-152. (in Persian) Anagnostopoulos, K. P. & Chatzoglou, P. D. (2011). The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms. Expert Systems with Applications, 38(11), 14208–14217. Arnott, R. & Wagner, W. (1990). The measurement and control of trading costs. Financial Analysts, 46(6), 73-80. Azar, A., Ramooz, N., Atefatdoost, A.R. (2014). The Application of Non-inferior Set Estimation (NISE) method in optimum portfolio selection (Case Study: Tehran Security Exchange). Journal of Financial Reaserch, 14(2), 1-14. (in Persian) Ballestero, E., Gunther, M., Plu-Santamaria, D., & Stummer, C. (2007). Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges. European Journal of Operational Research, 181(3), 1476–1487. Barzinpoor, F. Ebrahimi, S.B., Hasheminezhad, S.M., Nasr Esfahani, H. (2011). Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran). Journal of Financial Research, 13(31), 1-22. (in Persian) Chiarawongse, A., Kiatsupaibul, S., Tirapat, S., & Van Roy, B. (2012). Portfolio selection with qualitative input. Journal of Banking & Finance, 36(2), 489-496. Efat Neghad, R., Zare Barg Abadi, A. (2013). Electricity planning with environmental restrictions of power system using harmony search Algorithm. Journal of Energy Policy and Planning Research, 1(3), 97-112. (in Persian) Estrada, J. (2002). Systematic risk in emerging markets: the D-CAPM. Emerging Markets Review, 3(4), 365-379. Gargaz, M., Abbasi, A., Moghadasi, M. (2010). Portfolio selection and optimization by using Genetic Algorithm based on different definitions of risk. Journal of Industrial Management, 5(11), 115-136. (in Persian) Geem, Z. W., Kim, J. H., & Loganathan, G. V. (2001). A new heuristic optimization algorithm: harmony search. Simulation, 76(2), 60-68. Golmakani, H. & Fazel, M. (2007). An interval portfolio selection problem based on regret function. Operational Research, 170(1), 253-264. Heidari, S. (2013). Flexible job shop scheduling by considering set up time and availability constrsints. Tehran: Department of Industrial Engineering, Faculty of Engineering. (in Persian) Jalili, F., Malek- Jafarian, M., Safavinejad, A. (2013). Introduction of Harmony Search Algorithm for Aerodynamic Shape Optimization Using the Navier-Stokes Equations, Journal of Applied and Computational Sciences in Mechanics, 24(2), 81-96. (in Persian). Jana, P., Roy, T., & Mazumder, S. (2009). Multi-objective possibilistic model for portfolio selection with transaction cost. Computational and Applied Mathematics, 228(1), 188-196. Janat Rostami, S., Kholghi, M., Bozorg Haddad, O. (2010). Management of reservoir operation system using improved Harmony Search Algorithm, journal of water and soil science, 20(3), 61-71. (in Persian) Khalili Aragh, M., Hashemi, S. (2008). Estimating portfolio market risk based on Value at Risk (VaR). Journal of Management Future Research, 77, 67-80. (in Persian) Khayamim, A., Mirzazade, A., Naderi, B. (2014). A fuzzy model for portfolio balancing considering transaction costs: A case study in Tehran Stock Exchange. Journal of operation research and its application, 2(41), 75-93. (in Persian) Kolm, P., Tutuncu, R. & Fabozzi, F. (2014). 60 Years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. Liu, Y. & Zhang, W. (2015). A multi-period fuzzy portfolio optimization model with minimum transaction lots. Operational Research, 242(3), 933-941. Liu, Y., Zhang, W. & Zhang, P. (2013). Multi-period portfolio selection optimization model by using interval analysis. Economic Modelling, 33, 113–119. Marasovic, B., & Babic, Z. (2011). Two-step multi-criteria model for selecting optimal portfolio. Production Economics, 134(1), 58–66. Mitra, G., Kyriakis, T., Lucas, C. A. & Pirbhai, M. (2003). A review of portfolio planning: Models and systems. Available in: http://citeseerx.ist.psu.edu/ viewdoc/download?doi=10.1.1.109.1443&rep=rep1&type=pdf. Moh’d Alia, O., & Mandava, R. (2011). The variants of the harmony search algorithm: an overview. Artificial Intelligence Review, 36(1), 49-68. Mushakhian, S., Najafi, A.A. (2015). Using multi objective particle swarm optimization (MOPSO) algorithms to solve amulti-period mean-semivariance-skeewness stochastic optimization model. Financial engineering and securities managemen, 23,133-147.(in Persian) Nabavi Chashmi, A., Yousefi Karchangi, I. (2012). Determine optimal portfolio with using of fuzzy goal programming. Financial engineering and securities managemen, 9,107-134. (in Persian) Najafi, A. & Mushakhian, S. (2015). Multi-stage stochastic mean–semivariance – CVaR portfolio optimization under transaction costs. Applied Mathematics and Computation, 256, 445-458. Poorahmadi, Z., Najafi, A. (2015). Dynamic portfolio optimization with transaction cost. Financial engineering and securities managemen, 22, 127- 146. Raei, R., Alibeigi, H. (2010). Portfolio optimization using particle swarm optimization method. Journal of Financial Reaserch, 12(29), 21-40. Raei, R., Mohammadi, Sh., Alibeiki, H. (2011). Mean-Semivariance portfolio optimization using Harmony Search Method, journal of Management Resesrch in Iran, 15(3), 105-128. (in Persian) Rahmati, H., Zandieh, M. (2012). Developing two multi-objective algorithms for solving multi-objective flexible job shop scheduling problem considering total consumed power per month. Journal of Industrial Management Studies, 10(27), 118-143. (in Persian) Sadati, M., Doniavi, A. & Samadi, A. (2014). A possibility theory for multi objective fuzzy random portfolio optimization. Decision Science Letters, 3(3), 305-318. Sadjadi, J., Gharakhani, M., Safari, E. (2013). Robust Portfolio Optimization using CAPM Approach. Journal of Production and Operations Management, 4 (1), 61-68. (in Persian) Sefiane, S. & Benbouziane, M. (2012). Portfolio Selection Using Genetic Algorithm. Applied Finance & Banking, 2(4), 143-154. Singla, K., Ganguli, S. (2015). Performance Study of Harmony Search Algorithm for Some Test Functions, International Journal of Technology Innovations and Research, 16(1), 1-8. Sivasubramani, S., & Swarup, K. (2011). Multi-objective harmony search algorithm for optimal power flow problem. Electr. Power Energy Syst, 33(3), 745–752. Soleimani, H., Golmakani, H. R. & Salimi, M. H. (2009). Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm. Expert Systems with Applications, 36(3), 5058–5063. Taghavifard, M.T., Dehghani, M, H, Aghaei, M. (2015). The Model for lot Sizing problem with supplier selection and Solving by NSGA-II (Case Study: Morvarid Panberiz Company). Management Reaserch in Iran, 19(2), 65-89. (in Persian)
Taqavifard, M., Mansouri, M., Khosh-Tinat, M. (2008). A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints. The Economic Reaserch, 4, 49-69.(in Persian) Vercher, E. & Bermudez, J. (2015). Portfolio optimization using a credibility mean-absolute semi-deviation model. Expert Systems with Applications, 42(20), 79–90. Wu, H. & Chen, H. (2015). Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching. Economic Modelling, 46, 79-90. Zhang, P. & Zhang, W. (2014). Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints. Fuzzy Sets and Systems, 255, 74-91. | ||
آمار تعداد مشاهده مقاله: 1,214 |