Research Article
A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio
Table 2
Forming an optimal stock portfolio considering various robust costs.
| | Stock | Robust cost | | 0 | 1 | 2 | 3 | 4 | 5 | 10 | 15 | 20 |
| | Darab Cement | — | — | — | — | — | — | — | — | — | | Gharb Cement | — | — | — | — | — | — | — | — | — | | Ilam Cement | 0.3522 | 0.34236 | 0.33306 | 0.72377 | 0.72556 | 0.72556 | 0.73435 | 0.3273 | 0.73435 | | Karun Cement | — | — | — | 0.00085 | 0.00052 | 0.0005 | — | — | — | | Kerman Cement | — | — | — | — | — | — | — | — | — | | Khuzestan Cement | — | — | — | — | — | — | — | — | — | | Shargh Cement | — | — | — | — | — | — | — | — | — | | Doroud Cement | 0.19211 | 0.18674 | 0.18167 | 0.00425 | 0.0026 | 0.00251 | — | 0.2321 | — | | Sepahan Cement | — | — | — | — | — | — | — | — | — | | Tehran Cement | 0.38824 | 0.40533 | 0.42149 | 0.26963 | 0.26907 | 0.26924 | 0.26565 | 0.4407 | 0.26565 | | Hegmatan Cement | — | — | — | — | — | — | — | — | — | | Khash Cement | — | — | — | — | 0.00134 | 0.0013 | — | — | — | | Sufiyan Cement | — | — | — | — | — | — | — | — | — | | Urmia Cement | — | — | — | — | — | — | — | — | — | | Shomal Cement | 0.06744 | — | 0.06378 | 0.00149 | 0.00091 | 0.00088 | — | — | — | | Shahroud Cement | — | — | — | — | — | — | — | — | — | | Cement of Kurdistan | — | — | — | — | — | — | — | — | — | | Qaen Cement | — | — | — | — | — | — | — | — | — | | Lar Sabzevar Cement | — | — | — | — | — | — | — | — | — | | Obj | — | — | — | — | — | — | — | — | — | | Return | ۰ | ۰ | ۰ | ۰ | ۰ | ۰ | ۰ | ۰ | ۰ | | Liquidity | 0.0319 | 0.03231 | 0.0327 | 0.0322 | 0.0322 | 0.0322 | 0.03218 | 0.0322 | 0.03218 | | CVaR | 0.084189 | 0.8089 | 0.8401 | 0.87115 | 0.87123 | 0.87123 | 0.87237 | 0.8459 | 0.87237 |
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