گزینش سبد بهینۀ سرمایه‌گذاری با به‎کارگیری مدل توسعه‌یافتۀ چندهدفه مارکویتز و الگوریتم جست‎وجوی هارمونی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران

2 دانشیار اقتصادسنجی، گروه اقتصاد، دانشگاه خلیج فارس، بوشهر، ایران

3 کارشناس ارشد تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران

4 دانشجوی دکتری تحقیق در عملیات، گروه مدیریت صنعتی، دانشگاه خلیج فارس، بوشهر، ایران

چکیده

مدل مارکویتز یکی از شناخته‎شده‏ترین مدل‏های انتخاب سبد سرمایه‎گذاری است. در این پژوهش مدل توسعه‎یافتۀ میانگین ـ نیم واریانس مارکویتز در قالب یک مدل برنامه‏ریزی غیرخطی چندهدفۀ عدد صحیح آمیخته با محدودیت‏های کاردینال، حد آستانه، بخش سرمایه‎گذاری، آنتروپی و نیز با در نظر گرفتن هزینۀ معاملاتی پیشنهاد شده است. مدل مسئله دارای ساختاری آمیختاری است. از این رو با توجه به ویژگی NP-hard مسئله، الگوریتم فراابتکاری جست‎وجوی هارمونی با رویکرد پارتو برای حل مدل به‎کار گرفته شده است. برای بررسی کاربردپذیری مدل پیشنهادی در مسئلۀ بهینه‎سازی سبد سهام، با استفاده از اطلاعات قیمت ده سهم پذیرفته‎شده در بورس اوراق بهادار در محدوده زمانی فروردین 1390 تا دی ماه 1394، مرز کارای سرمایه‎گذاری به‎دست آمد. برونداد مدل نشان‎دهندۀ کارایی الگوریتم جست‎وجوی هارمونی در بهینه‎سازی مدل پژوهش است. یافته‏‏های پژوهش نشان می‏دهد مدل پیشنهادی توانسته است شرایط انتخاب سبد سرمایه‎گذاری را به خوبی در نظر بگیرد و یک سبد بهینۀ سرمایه‎گذاری را تعیین کند

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Selecting Optimal Portfolio Using Multi-objective Extended Markowitz Model and Harmony Search Algorithm

نویسندگان [English]

  • Khodakaram Salimifard 1
  • Ebrahim Heidari 2
  • Zahra Moradi 3
  • Reza Moghdani 4
1 Persian Gulf UniveAssociate Prof. in Operations Research, University of the Persian Gulf, Booshehr, Iranrsity
2 Associate Prof. of Econometrics, University of the Persian Gulf, Booshehr, Iran
3 MSc. in Operations Research, University of the Persian Gulf, Booshehr, Iran
4 PhD. Candidate in Operations Research, University of the Persian Gulf, Booshehr, Iran
چکیده [English]

Morkowitz model is one of the well-known models in portfolio selection problem. This paper presents an extended version of Markowitz mean semi variance portfolio selection model. The extended model considers sets of constraints including cardinality, bounds on holdings, sector capitalization, an entropy constraints. It also considers transaction costs. The problem model has a combinatorial structure. Due to the NP-hard characteristic of the resulting mathematical model, Harmony Search Meta-heuristic algorithm was used to solve the model. Since the proposed mathematical model is a multi-objective one, the Pareto solution approach was applied. To investigate the applicability of the proposed model, a data set of ten stocks from Tehran Stock Exchange, from March 2011 to December 2015, is used as a case study. The obtained efficient frontier indicates the applicability of the harmony algorithm in the optimization model. Research results show that the proposed model is efficiently is capable to consider the investment portfolio requirements quite well.

کلیدواژه‌ها [English]

  • Portfolio optimization
  • Markowitz Model
  • Harmony Search Algorithm
  • Pareto approach
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