Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches

Document Type : Research Paper

Authors

1 Associate Prof. of Industrial Management, Faculty of Management, University of Tehran, Tehran, Iran

2 Assistant Prof. in Financial Management, Faculty of Management, University of Tehran, Tehran, Iran

3 MSc. Student in of Industrial Management, Faculty of Management, University of Tehran, Tehran, Iran

Abstract

Finding the best method to optimize Portfolio, has been found more value in investment management industry after publishing harry Markowitz’s article in 1952. It caused to find various new method related to portfolio of stock exchange. In this article, portfolio is optimized by two new model of Goal Programming, Meta-Goal Programming & Extended Lexicography Goal Programming. Our goal is to maximized the Rate of return & Liquidity, and minimize risk & beta of the stock in the models. This research has been done in Tehran exchange market. At the end, resulting values would be compared. The rate of return for ELGP model is 21/678% and for Meta-GP model is 20/178%.

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Main Subjects

References

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Financial Research Journal
Volume 18, Issue 4
March 2017
Pages 591-612

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