Multiobjective Optimization of Allocated Exchange Portfolio : Model and Solution—A Case Study in Iran

Abstract EN

This paper presents a triobjective model for optimization of allocated exchange portfolio.

The objectives of this model are minimizing risk and investment initial cost (by adopting two synchronic policies of buying and selling assets) and maximizing return, to optimize allocated portfolios (APs).

In an AP, an investor by considering previous investment experiences and market conditions selects the within portfolio assets.

Then, considering proposed model, the assets proportion of AP is optimized for a limited time horizon.

In optimizing a multiobjective problem of an AP, risk and return objectives are measured on the basis of standard deviation of assets dairy return and dairy return mean within AP assets, respectively.

We present a set of interobjectives trade-offs along with an analysis of Iran Melli bank investment in an exchange AP, using Weighted Global Criterion (WGC) method with assumption p=1, 2, and ∞ to optimize the proposed model.

Results of WGC model (in all p=1, 2 and ∞) represent that US dollar exchange in comparison with other exchanges, was rather the fewest exchange proportion in Iran Melli bank exchange AP which this is consistent with Iran exchange investment policy of more concentration on other exchanges.