نوع مقاله : مقاله پژوهشی
نویسندگان
1 استادیار دانشکده مدیریت، دانشگاه تهران
2 دانشجوی کارشناسی ارشد مهندسی مالی، دانشکده مدیریت، دانشگاه تهران (مسئول مکاتبات)
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can control the conservativeness of investor for portfolio selection by a defined parameter. We used 50 active company of Tehran exchange stock in 3 first months of 1392 to study the performance of model. The results of paired comparisons in out of sample experiments shows that Markowitz portfolio which has same expected return by robust portfolio, has lower Sharpe ratio.
کلیدواژهها [English]
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