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A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange

PloS one, 2020-10, Vol.15 (10), p.e0239810-e0239810 [Peer Reviewed Journal]

COPYRIGHT 2020 Public Library of Science ;COPYRIGHT 2020 Public Library of Science ;2020 Peykani et al. This is an open access article distributed under the terms of the Creative Commons Attribution License: http://creativecommons.org/licenses/by/4.0/ (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;2020 Peykani et al 2020 Peykani et al ;ISSN: 1932-6203 ;EISSN: 1932-6203 ;DOI: 10.1371/journal.pone.0239810 ;PMID: 33045010

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Title:
A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange
Author: Peykani, Pejman ; Mohammadi, Emran ; Jabbarzadeh, Armin ; Rostamy-Malkhalifeh, Mohsen ; Pishvaee, Mir Saman
Gherghina, Stefan Cristian
Subjects: Biology and Life Sciences ; Case studies ; Computer applications ; Data envelopment analysis ; Decision making ; Efficiency ; Financial markets ; Industrial engineering ; Investment ; Investment analysis ; Investment policy ; Investments ; Liquidity ; Literature reviews ; Mathematical optimization ; Methods ; Operations research ; Optimization ; Optimization theory ; Physical Sciences ; Portfolio management ; Research and Analysis Methods ; Robustness (mathematics) ; Securities analysis ; Securities industry ; Securities markets ; Sensitivity analysis ; Social Sciences ; Stock exchanges ; Stock-exchange ; Stocks ; Two phase ; Uncertainty
Is Part Of: PloS one, 2020-10, Vol.15 (10), p.e0239810-e0239810
Description: Portfolio construction is one of the most critical problems in financial markets. In this paper, a new two-phase robust portfolio selection and optimization approach is proposed to deal with the uncertainty of the data, increasing the robustness of investment process against uncertainty, decreasing computational complexity, and comprehensive assessments of stocks from different financial aspects and criteria are provided. In the first phase of this approach, all candidate stocks' efficiency is measured using a robust data envelopment analysis (RDEA) method. Then in the second phase, by applying robust mean-semi variance-liquidity (RMSVL) and robust mean-absolute deviation-liquidity (RMADL) models, the amount of investment in each qualified stock is determined. Finally, the proposed approach is implemented in a real case study of the Tehran stock exchange (TSE). Additionally, a sensitivity analysis of all robust models of this study is examined. Illustrative results show that the proposed approach is effective for portfolio selection and optimization in the presence of uncertain data.
Publisher: San Francisco: Public Library of Science
Language: English
Identifier: ISSN: 1932-6203
EISSN: 1932-6203
DOI: 10.1371/journal.pone.0239810
PMID: 33045010
Source: DOAJ Directory of Open Access Journals
PLoS
GFMER Free Medical Journals
PubMed Central
ProQuest Central

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A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange

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