A Robust Knapsack Based Constrained Portfolio Optimization
محل انتشار: ماهنامه بین المللی مهندسی، دوره: 33، شماره: 5
سال انتشار: 1399
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 389
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شناسه ملی سند علمی:
JR_IJE-33-5_016
تاریخ نمایه سازی: 25 خرداد 1399
چکیده مقاله:
Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted problem formulations do not yield in practical solutions. Therefore, it is necessary to apply some managerial decisions in order to make the results more practical. This paper presents a portfolio optimization based on an improved knapsack problem with the cardinality, floor and ceiling, budget, class, class limit and pre-assignment constraints for asset allocation. To handle the uncertainty associated with different parameters of the proposed model, we use robust optimization techniques. The model is also applied using some realistic data from US stock market. Genetic algorithm is also provided to solve the problem for some instances.
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نویسندگان
F. Vaezi
Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
S. J. Sadjadi
Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
A. Makui
Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran