Author/Authors :
Ramezani, Nasrin Department of Industrial Engineering - Khatam University, Tehran, Iran , Mokhatab Rafiei, Farimah Department of Industrial and Systems Engineering - Tarbiat Modares University, Tehran, Iran
Abstract :
In this study, first, a brief survey of various portfolio selection problems is
presented to explore the related methodologies, hypotheses, and constraints that are
considered in these problems. Among these methods, the grey relational analysis
approach is employed to deal with poor information and uncertainties in portfolio
selection problems. Return, risk, skewness, and kurtosis are used at the same time
as selecting criteria in the portfolio construction. To evaluate the effectiveness of
the proposed method, an empirical analysis has done. Therefore, fourteen stocks of
various industries like metal, banks, financial institutions, car manufactures,
transportation, and petroleum from the thirty largest active companies’ index in
Tehran Stock Exchange have been randomly selected and all above mention
moments have been calculated for each stocks. In this study, the portfolio is
restructured dynamically each week based on the ranking of previous week. The
result from the analysis indicates that the selected approach has better performance
in comparison with the benchmarks in terms of return, standard deviation, and
Sharpe ratio.
