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      • Open Access Article

        1 - Portfolio Selection under Trading Constraints and Data Uncertainty Using Robust Optimization Approach and NSGA-II Algorithm
        Pejman Peykani     Alireza Jandaghian
        Portfolio is a collection or combination of investments in financial and non-financial assets that may be carried out by an individual or organization. How to select and optimize of portfolio is very important. One of the most important points that should be considered More
        Portfolio is a collection or combination of investments in financial and non-financial assets that may be carried out by an individual or organization. How to select and optimize of portfolio is very important. One of the most important points that should be considered in the proposed approach for portfolio selection, is uncertainty. Because, one of the most important features of financial markets is their uncertainty. Thus, the purpose of this study is to present a bi-objective model for portfolio selection that is capable to be used under uncertainty of financial data and for this purpose, a robust optimization approach has been used. It should be noted that return and conditional value at risk (CVaR) are considered as model objectives, and the constraints of the number of shares and the purchasing volume of each share have been added to the model. Also, due to the complexity of the proposed model, a NSGA-II meta-heuristic algorithm has been used to solve the suggested model of research. Finally, the presented model was solved by using the actual data of 200 stocks of Tehran stock market for the period of 2017 and the results were analyzed. The results indicate the efficiency of the proposed approach portfolio selection according to the investor's preferences and constraints under uncertainty of financial data. Manuscript profile
      • Open Access Article

        2 - Optimizing Investment in Life Insurance Based on Goal Programming
        Seyed Farhang Hoseini reza raei Ghadir Mahdavi
        Investment management in life insurance is very important because of its specific features. Unlike other insurance policies, life insurance is long-term and focused mainly on return on investment. Also, due to the 85% participation of insurers in the surplus of intere More
        Investment management in life insurance is very important because of its specific features. Unlike other insurance policies, life insurance is long-term and focused mainly on return on investment. Also, due to the 85% participation of insurers in the surplus of interest, the surplus in a period has little income for the insurance company,but the insurance company has a guaranteed return on the deficit. In addition, high return is one of the main factors of insurance companies competition in marketing. Also, insurance companies need to make sure they have enough liquidity to fulfill their obligations. Despite the fundamental differences between life insurance and property and liability insurance, No 60 Central Insurance Regulations do not differentiate between the investment of the above insurance reserves. In this study, we designed a portfolio optimization model for life insurance investments. Accordingly, the Markov Switching Vector Auto Regressive based on ideal optimization with contrasting goals set with the actual performance of the company. Optimization has been made in the portfolio of life insurance based on Moalem Insurance Company from 2012 to 2016. Investment weights have been implemented by simulating the Markov Switching VAR model with optimization objectives including maximizing insurance returns, minimizing shortfall, maximizing policyholder returns and minimizing liquidity shortages. Based on the results, the ideal planning optimization model produces more returns than the actual returns of the insurance and performs better in other objectives. As a result, this approach can be used to optimize life insurance investment portfolios in insurance companies. Manuscript profile
      • Open Access Article

        3 - Multiple objective optimization for assigning students of public high schools to private high schools in uncertainty condition (case study: mallard region
        Ahmad Makui Seyedeh Sara   Ghasemi
        Nowadays, choosing the most effective and optimum strategy for selecting and assigning students to the target schools due to its great impact on the quality and quantity of education is one of the important concerns of the educational institution. In this regard, it is More
        Nowadays, choosing the most effective and optimum strategy for selecting and assigning students to the target schools due to its great impact on the quality and quantity of education is one of the important concerns of the educational institution. In this regard, it is necessary to determine the appropriate criteria for appropriate selection of students, taking into account the standards and educational needs of students. In this research, from the perspective of the academic level, the student-to-school distance and the ideal planning approach, a decision-making model with distinct goals for selecting and assigning students to nonprofit and governmental schools is presented. According to the proposed method, firstly, the assessment of the students is carried out in relation to the schools in the target area, with two approaches of distance between the student and the target school and the academic level correspondence. The results of these assessment, based on the new and applied BWM, determining the weight of the academic level and the distance to the school by each student toward the school. In the next step, based on the level of science weights and the distance between each student and school, ideal planning modelling is revised for each student. In this case, the specified weights are the main inputs and the required ideal constraints are also considered. Finally, by solving the proposed model, the optimal assignment of students to each of the schools is done. After the students have been assigned to the target schools, we may encounter lack of capacity in some schools. In this case, by providing a flowchart, the way of students’ relocation to the standard capacity for all schools is explained. Also, due to the implementation of the proposed research methodology for allocating students to the schools belonging to the "Mallard" region, and conducting relevant evaluations and calculations, the sensitivity analysis has also been done. The final results of the sensitivity analysis of the proposed model indicate that the lack of consideration of the academic level approach causes changes in selection and allocation of students to schools. Therefore, the academic level should be taken into account in assessments related to the allocation of students to schools. Manuscript profile