Multi-stage stochastic model in portfolio selection problem


Shokoofeh Banihashemi, Ali Moayedi Azarpour, Marziye Kaveh




This paper is a novel work of portfolio-selection problem solving using multi objective model considering four parameters, Expected return, downside beta coefficient, semivariance and conditional value at risk at a specified confidence level. Multi-period models can be defined as stochastic models. Early studies on portfolio selection developed using variance as a risk measure; although, theories and practices revealed that variance, considering its downsides, is not a desirable risk measure. To increase accuracy and overcoming negative aspects of variance, downside risk measures like semivarinace, downside beta covariance, value at risk and conditional value at risk was other risk measures that replaced in models. These risk measures all have advantages over variance and previous works using these parameters have shown improvements in the best portfolio selection. Purposed models are solved using genetic algorithm and for the topic completion, numerical example and plots to measure the performance of model in four dimensions are provide