درخت حوزه‌های تخصصی

Optimal Portfolio Selection is one of the most important issues in the field of financial research. In the present study, we try to compare four various different models, which optimize three-objective portfolios using “Postmodern Portfolio Optimization Methods”, and then to solve them. These modeling approaches take into account both multidimensional nature of the portfolio selection problem and requirements imposed by investors. Concretely different models optimize the expected return, the down side risk, skewness and kurtosis given portfolio, taking into account budget, bounds and cardinality constrains. The quantification of uncertainty of the future returns on a given portfolio is approximated by means of LR-fuzzy numbers, while the moments of its returns are evaluated using possibility theory. In order to analyze the efficient portfolio, which optimize three criteria simultaneously, we build a new NSGAII algorithm, and then find the best portfolio with most Sortio ratio from the gained Pareto frontier. Thus, in this paper we choose 153 different shares from different industries and find their daily return for ten years from April of 2006 till March of 2017 and then we calculate their monthly return, downside risk, skewness, kurtosis and all of their fuzzy moments. After designing the four models and specific algorithm, we solve all of the four models for ten times and after collection of a table of the answers, compare all of them with Treyner ratio. At last, we find that using fuzzy and possibistic theory make higher return and better utilized portfolios.

During the recent years, water deficiency has been lead to innovation of modern techniques for saving water in countries which suffered from the shortage of water supplies. One of the notable concepts in this regards is the concept of virtual water trade in management of water supplies. The concept of virtual water trade is defined synonymously as the sum of the needed water for production of certain quantity of a product. Accordingly, prevention from exportation of products, which may lead to exiting water from the country and emphasis on importation of water-bearing products, is considered as one of the strategies which have been taken by some countries in the management of their own restricted water supplies. This strategy means that the water supplies of countries should be employed for manufacturing of the products, which are followed by further income economically. The present article is an innovation in calculating virtual water values by 6-digit SITC codes for all sectors of the economy in the selected countries (Persian Gulf countries). For each commodity code exported and imported in countries, the amount of virtual water (cubic meters per ton) is also calculated. In this regard, the rate of hidden water in imports and exports of the aforesaid countries during 2001 to 2012 is explored. The results reveal the fact that Iran has not taken any certain defined strategy regarding the management of water supplies by means of virtual water concept. JEL Classification: Q18, Q25, O13