TY - JOUR ID - 22702 TI - A data-driven design of the optimal investment portfolio for the industry in a two-level game using the Markowitz model by meta-heuristic algorithms: Economic analysis of condition monitoring system JO - Scientia Iranica JA - SCI LA - en SN - 1026-3098 AU - Memarpour, M. AU - Hafezalkotob, A. AU - Khalilzadeh, M. AU - Saghaei, A. AU - Soltani, R. AD - Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran AD - College of Industrial Engineering, South Tehran Branch, Islamic Azad University, Tehran, Iran AD - Department of Industrial Engineering, Faculty of Engineering, Khatam University, Tehran, Iran Y1 - 2023 PY - 2023 VL - 30 IS - 2 SP - 691 EP - 711 KW - leader- follower game KW - investment portfolio KW - Markowitz model KW - data-driven KW - meta-heuristic algorithms DO - 10.24200/sci.2022.55048.4047 N2 - This paper studies, investment portfolio of two players in the banking system in a two-level game, and eventually determines the optimal portfolios of investors using the Markowitz model. This two-level game includes bank C as the leader of the game and customers of this bank as the game followers. The investment portfolios of the leader player include investment in competitor banks (A and B), foreign exchange market, real estate market, and stock. The data related to the mentioned assets covered 2010-2020, where the optimal investment portfolios of the players was first determined using GAMS and genetic meta-heuristic algorithm. Next, the problem was solved again using the meta-heuristic algorithms of PSO and IWO. Eventually, the optimal algorithm was chosen using TOPSIS multi-criteria decision-making. The results of 3 algorithms indicated that the optimal portfolio for the leader player consisted of investment in properties, securities, and competitor banks respectively. UR - https://scientiairanica.sharif.edu/article_22702.html L1 - https://scientiairanica.sharif.edu/article_22702_94431a3c7212c0a8fdbd307e9449aaa6.pdf ER -