چکیده:
Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimization in recent decades. Along with the growing use of portfolios and despite its rich literature, there are still many unanswered issues and questions in this area. Also, Iranian capital markets, as emerging markets, require native research to answer these questions and issues. The purpose of this study is to provide a useful and effective tool to assist professionals and researchers in portfolio selection theory. This study, while comprehensively reviewing the literature on the subject and the developments and expansions made in the area of portfolio selection and optimization, reviews the types of problems and optimization methods.
خلاصه ماشینی:
Portfolio Optimization Models, Mathematical Models, Meta-Heuristic Models 1 Introduction Portfolio selection is one of the most common issues faced by different investors with varying levels of capital, and yet one of the most complex in the financial world [33].
His mathematical modeling was a long way from the real world, but it had a profound effect on improving the portfolio selection procedure, with many researchers thereafter refining his theory, but so far a comprehensive model that investors can choose for the optimal portfolio of investments, to use it has not been introduced.
And maximizing return on investment seems simple, but in practice there are many ways It is used to form an optimal portfolio: the problem of Markowitz optimization and the determination of the effective investment boundary, when mathematical models are solvable when the number of marketable assets and market constraints are low, but when the conditions and Given the limitations of the real world, it will be a complex and difficult task, for years to solve such complex problems of advanced mathematics and computers with the help of human beings to help him to overcome environmental uncertainty and ambiguity more and more.
Portfolio optimization is selection of the best combination of financial assets in a way that maximizes return on investment and minimizes portfolio risk as much as possible.
, Portfolio Selection and Optimization Using Genetic Algorithm Based on Different Definitions of Risk, Journal of Industrial Management, Faculty of Humanities, Azad University of Sanandaj, 2010, 5(11), (In Persian).