فهرست مطالب amir shiri ghehi

The purpose of the present research is to provide a multi-period portfolio optimization model in a fuzzy credibility environment, aimed for end-of-period wealth maximization and risk minimization. The investor’s risk was measured using the Average Value at Risk (AVaR) as a coherent risk measure.
The model is designed in such a way that, in addition to considering transaction costs, the investor will have the opportunity to allocate part of his wealth to a risk-free asset. In designing the model, in addition to the cardinality constraints, constraints such as the minimum “proportion entropy” (as the portfolio of diversification degree) and the expected returns of the portfolio in each period are considered.
The results of the model running by MOPSO algorithm indicated that the model objectives in the optimum portfolios were better suited than those when the model was run with random weights. The results also indicated that an increase in the portfolio diversification degree reduced the amount of the final wealth.

The purpose of the present research is to compare portfolio optimization models in a fuzzy credibility environment, aimed for end-of-period wealth maximization and risk minimization. The investor’s risk was measured using the Value at Risk (VaR), Average Value at Risk (AVaR) and semi Entropy. In order to get closer to the real world investment model, while allowing for transaction costs and investing part of wealth in risk-free assets, in addition to the cardinal constraints, other constraints including the minimum and maximum amount of wealth assigned to each asset, and the minimum and maximum number of stocks present in portfolio were applied. The results of the multi-period models running by MOPSO algorithm indicated for the models Mean-AVaR, Mean-Semi Entropy, and Mean-VaR, respectively, performed better, in terms of Sharp and Treynor measures.