Network centrality and portfolio optimization using the genetic algorithm

Alireza Zamanpour; Asghar Abolhasani Hastiany

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.65033.1043

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64760.1040

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More

Network centrality and portfolio optimization using the genetic algorithm

Asghar Abolhasani Hastiany; Alireza Zamanpour

Volume 1, Issue 2 , September 2021, , Pages 131-162

http://dx.doi.org/10.22054/jmmf.2021.13844

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Volume 1, Issue 2 , September 2021, , Pages 181-194

http://dx.doi.org/10.22054/jmmf.2021.13848

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More