Abbas Rezaei Pandari; Adel Azar; Alireza Rayati Shavazi
Volume 16, Issue 48 , October 2011, , Pages 109-134
Abstract
Generally, investors consider simultaneously conflicting objectives such as rate of return, risk and liquidity in portfolio selection. On the other hand, every investor has his own specific preferences about objectives. Therefore, we can use Multi Objective Decion Making (MODM) techniques in order to ...
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Generally, investors consider simultaneously conflicting objectives such as rate of return, risk and liquidity in portfolio selection. On the other hand, every investor has his own specific preferences about objectives. Therefore, we can use Multi Objective Decion Making (MODM) techniques in order to solve portfolio selection problem. The Studies shows that a MODM technique by nonlinear goals such as minimization of nonsystematic risk and skewness maximization isn’t employed for portfolio selection, so a new approach is applied. We employ MODM model to select a best portfolio in 50 superior companies in Tehran stock exchange with regards to optimization objectives of return, systematic risk, nonsystematic risk, skewness, liquidity and sharp ratio. This model is non-convexed, so operational research algorithms can not find the best solution; therefore we use Genetic Algorithms (GA) for achieving nonlinear multi-objective model. In the end, the result of GA is comprised with Markwitz classic model and goal programming (containing linear and nonlinear objectives). The comparison indicates that although return of the portfolio of GA model is less than the other models, but GA has the best results in decreasing risk criteria which completely cover the return and lead to best results. The other advantage of using GA is a higher diversification in its proposed portfolio in comparison with other models.
Adel Azar; Davood Gholamrezaei
Volume 8, Issue 27 , July 2006, , Pages 173-153
Abstract
To achieve the national goals, specifically “Fourth Development Plan Objectives”; it is necessary to coordinate thetake into account national goals with the regional actualities. For this purpose, resources should be allocated on the basis of regional capabilities and advantages. Since, ...
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To achieve the national goals, specifically “Fourth Development Plan Objectives”; it is necessary to coordinate thetake into account national goals with the regional actualities. For this purpose, resources should be allocated on the basis of regional capabilities and advantages. Since, wWelfare promotion is the most important social goal necessary for human excellencein most countries, the development programs based on the the regional economies planning process must consider the degree of human development in the different areas and provinces of country.regions of the economy. Each region needs special plans with regard to its special characteristics. This will necessitate the identification of past and present status of different regions using scientific methods. In this paper, for the first time in Iran, we apply “Data Envelopment Analysis” to consider the human development in Iran's provinces and will measure the efficiencies of each provincesprovince in the resource utilization to produce human development index. As a matter of fact, Tthe results typically have shownshow that undeveloped provinces in overall general have higher efficiencies than developed provinces. Therefore, Iit will be necessary to pay more attention to the undeveloped regions in the future planning.