Title: Optimisation of allocated portfolio using multi-objective stochastic programming

Authors: Mostafa Ekhtiari; Alireza Alinezhad; Abolfazl Kazemi

Addresses: Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran ' Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran ' Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran

Abstract: Decision making about portfolio selection problem under uncertainty is very important and critical, so it is rational and necessary to use ideas of a DM who is proficient in stochastic problems. For example, the Goal Attainment Programming (GAP) is one of the methods in priori category that compared to the Goal Programming (GP) method has several advantages. At now, several techniques have been introduced to solve stochastic programming problems and most popular technique is the Chance Constrained Programming (CCP). In this paper, by combining CCP approach and GAP method a new model called Chance Constrained Goal Attainment Programming (CCGAP) is proposed which can be used to optimise multi-objective stochastic problems. This proposed model is illustrated by a problem of portfolio selection from the market of Iran stock exchange.

Keywords: stochastic programming; multi-objective programming; priori methods; chance constrained programming; goal attainment programming; portfolio optimisation; portfolio selection; uncertainty; Iran; stochastic modelling; stock markets.

DOI: 10.1504/IJFSM.2013.056353

International Journal of Financial Services Management, 2013 Vol.6 No.2, pp.155 - 169

Received: 29 Nov 2012
Accepted: 29 Jul 2013
Published online: 13 Sep 2014 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article