Development of a bi-objective multi-period portfolio selection model with consideration of risk indices

The issue of research is modeling the stock portfolio in capital market considering the importance for investors to participate in liquidity transfers for industrial development in the country. In order to select high-returned stocks and aiming for investors to have higher returns than risk-free interest rates, there should be indicators for measuring the investment risk and minimizing it in order to achieve an optimal solution by balancing the investor’s risk and minimum expected return should be considered. In the implementation of this research, we use of coherence risk measures such as conditional value at risk and value at risk taking into account the covariance of the price of stocks to minimize the risk in each stock and the risk between stocks. Implementing the model of this research, we two definite and fuzzy approaches and using a Stochastic Chance Constraint Programming technique to definite the probabilistic constraint that states the relationship between the two risk indicators mentioned, as well as the Goal Programming solution method approach to solve the bi-objective model has been done. Models made in lingo software. The results suggest the selection of stocks that have a lower price modification than other stocks, and their price changes are minimized. For future researches in this subject, it is suggested that approximate methods include heuristics and meta-heuristics methods to optimization and measuring the entropic value at risk indicator to be used.