Iranian Journal of Agricultural Economics and Development Research

Iranian Journal of Agricultural Economics and Development Research

Application of Polynomial Goal Programming in Optimal Portfolio Determination of Food Industry Stocks

Document Type : Research Paper

Authors
Fatemeh Mojtahedi 1
Seyed Mojtaba Mojaverian 2
Seyed-Ali Hosseini-Yekani 3
1 PhD student of Agricultural Economics, Agricultural Economics Department, Faculty of Agricultural Engineering, Sari Agricultural Sciences and Natural Resources University, Sari. Iran
2 Associate Professor, Department of Agricultural Economic/ Sari Agricultural Science and Natural Resources University
3 Associate Professor of Agricultural Economics, Agricultural Economics Department, Faculty of Agricultural Engineering, Sari Agricultural Sciences and Natural Resources University, Sari. Iran
10.22059/ijaedr.2020.293658.668847
Abstract
In this study, a polynomial goal programming approach based on the mean-variance-skewness-kurtosis model is used to select the optimal portfolio based on different investor preferences structure. Then systematic risk is considered as a constraint in the model because of its importance in decision making. Extreme Downside Hedge is considered as the measurement of systematic risk. The data used in this study include daily stock price of selected food industry companies and market index for 2015-2019. The results showed that investor preferences influence portfolio selection and allocation of capital, so individuals can choose their portfolio based on their preferences. The risk entry into the model also indicated that given this limitation, portfolio selection would shift to the stocks of companies that are less affected by market volatility. Based on results, it is suggested that in future studies the model be developed based on other limitations such as different degree of risk aversion in decision making. The model can also be designed based on fuzzy logic and its performance be investigated under such conditions. Also, results of each estimation can be considered as an investment patern for individuals.
Keywords
Systematic Risk
Extreme Downside Hedge
Higher-order moments
Stock Exchange
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Iranian Journal of Agricultural Economics and Development Research
Volume 53, Issue 1
Winter 2022
Pages 265-276