چكيده به لاتين
Abstract
Stock basket optimization is a two-objective optimization problem with the goals of maximizing expected returns and minimizing risk. The selection of stock portfolios is a difficult operation in the field of investment. In this paper, the investor sees himself in front of many different and infinitely many choices to choose from as one of the best choices. Deciding which shares are in a better position than other stocks is worthy of being selected and placed in the investment portfolio of the individual, and how the allocation of funds between these securities is complex.
The present study examines the optimization of a multi-year stock portfolio considering the size of potential financial risk in listed companies in Tehran Stock Exchange. In this research, the domain of research (temporal-temporal-spatial) is determined first. In the next step, the statistical society is introduced as a community that is being investigated in this research. Since sampling is not possible, it is not possible to study the entire population. Then, the sampling method and the sample size were determined.
Finally, the real data of Tehran Stock Exchange is compared with the model of the research, and due to the Np-Hard model, “the Interier Point” algorithm is used to solve it.
Key words:
Investment, Portfolio Optimization, Multi period, Risk Indicators, Tehran Stock Exchange.
