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

Document Type : Article

Authors

1 Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran

2 College of Industrial Engineering, South Tehran Branch, Islamic Azad University, Tehran, Iran

3 Department of Industrial Engineering, Faculty of Engineering, Khatam University, Tehran, Iran

Abstract

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.

Keywords

References

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Scientia Iranica
Volume 30, Issue 2
Transactions on Industrial Engineering (E)
March and April 2023
Pages 691-711

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