A Single Period Multi Objective Mathematical Model for Portfolio

Abstract

Optimal portfolio selection and how to invest in, is one of the key issues which is considered in the capital market and should be paid attention by investors. In this regard, investors studies in selecting optimal portfolio accords to risk and return level. What has been done in the field of financial calculations and portfolio selection should prioritize existing investments in terms of risk and return respectively, until investors be able to constitute their optimal portfolio according to the finance and their level of risk-taking. Hence, measuring risk is considered as a major issue in the investment of portfolio. So in this research which was done in a capital market of Iran, it is presented a multi objective single - period mathematical model for measuring the risk of portfolio which integrates measure of return and two measures of risk (semivariance, Cvar). This model enables investors to measure the risk of portfolio carefully under transactions cost constrains and invest in a portfolio with maximum rate of return and minimum rate of risk Results show that using integraed risk measure can increase the carefulness of investors in capital market for optimal portfolio selection.

Keywords

• semivariance measure
• CVar measure
• multi objective programming
• portfolio
• transaction cost