Mathematical modeling for a new portfolio selection problem in bubble condition, using a new risk measure

Document Type : Article


1 Faculty of Industrial and Systems Engineering, Tarbiat Modares University, Tehran, Iran

2 Faculty of Industrial Engineering, K.N. Toosi University of Technology, Tehran, Iran


A portfolio selection model is developed in this study, using a new risk measure. The proposed risk measure is based on the fundamental value of stocks. For this purpose, a mathematical model is developed and transformed into an integer linear programming. In order to analyze the model's efficiency, the actual data of the Tehran Stock Exchange market are used in 12 scenarios to solve the proposed model. In order to evaluate the scenarios, data mining approaches are employed. Data mining methods which are used in this paper include ANFIS, decision tree, random forest, ADF, and GEP. The best method for scenario evaluation is GEP based on numerical results. Hence, the market values are evaluated by this algorithm. Software packages like MATLAB, GEP xpero tools, and LINGO are used to solve the model. Different trends of market value and fundamental value volatility in the optimum stock portfolio are determined. It is possible to examine the optimum portfolio profitability in different scenarios. By using real-world data, trends are extracted and analyzed. Results show that the developed model can be effectively applied in bubble situations.


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