Abstract
The classic approach of the portfolio optimization is solvable by the classic models of mathematic planning when the number of assets able to investment and the available constraints in the market are limited. However, when considering the terms and constraints of real world, the classic approach of portfolio optimization is not easily solvable using the classical methods of mathematical optimization. It is why, using the methods Meta-heuristic and the evolutionary algorithms in portfolio optimization has been of the most Important issues recently. The main objective of present research is to present an appropriate practical approach to select the optimal stock portfolio. On this regard, a multi-objective mathematical programming model has been designed based on Grey Relational Analysis and C5 algorithm, and then to solve this model and in order to achieve the optimized combination of the rank and risk, the Shuffled Frog-Leaping Algorithm was used. The presented methodology was used in Tehran Stock Exchange.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
