شماره ركورد كنفرانس :
5263
عنوان مقاله :
Application of multiobjective particle swarm optimization approach in robust portfolio optimization
پديدآورندگان :
Shahbeyk Shokouh sh_shahbeyk@atu.ac.ir Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran . , Morteza Mehran mehranmorteza@outlook.com Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran .
كليدواژه :
Portfolio Optimization , Robustness , Multiobjective particle swarm optimization
عنوان كنفرانس :
54 امين كنفرانس رياضي ايران
چكيده فارسي :
In this paper, we define two concepts of robust efficiency solutions for multiobjective optimization problem with uncertainties. Furthermore, the multiobjective particle swarm optimization approach is used to find these solutions of mean-variance portfolio optimization problem with ellipsoid uncertainty set in the real stock market and compared them to each other. Finally, the increase and decrease effects of uncertainty set parameters on these robust efficient solutions are verified.
