Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The variety of investment methods and the complexity of decision making has strongly developed in recent decades, and due to this widespread growth , there has been created need to inclusive and integrative models . to meet this need , financial modeling is created from the connection between financial approach and mathematical planning.
Assessing risk assets is one of the most important research issues in the financial field .There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models(black hole algorithms ,hybrid algorithms and gravity) have been used. And finally, it has been compared to the results of the Markowitz pricing model.
Assessing risk assets is one of the most important research issues in the financial field .There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models(black hole algorithms ,hybrid algorithms and gravity) have been used. And finally, it has been compared to the results of the Markowitz pricing model.
Keywords:
Language:
Persian
Published:
Financial Engineering and Protfolio Management, Volume:10 Issue: 41, 2019
Pages:
26 to 46
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