Open AccessAn Efficient Portfolio with Several Objectives and Varying Parameters
Author(s) -
Mrinal Jana,
Geetanjali Panda,
Neelesh Agrawal
Publication year - 2018
Publication title -
international journal of mathematical, engineering and management sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.228
H-Index - 10
ISSN - 2455-7749
DOI - 10.33889/ijmems.2018.3.4-024
Subject(s) - portfolio , econometrics , rate of return on a portfolio , portfolio optimization , post modern portfolio theory , black–litterman model , portfolio insurance , modern portfolio theory , replicating portfolio , range (aeronautics) , selection (genetic algorithm) , stock (firearms) , economics , financial economics , computer science , geography , engineering , artificial intelligence , aerospace engineering , archaeology
We investigate a portfolio selection model with several objective functions, whose coefficients are uncertain and vary between some bounds. A preferable efficient portfolio of the model is obtained, which provides the range within which the portfolio return and the moments would vary. An optimal portfolio for the forecasted returns of stocks is found with actual market data from the Bombay Stock Exchange, India.