University of Qom Journal of Engineering Management and Soft Computing 3116-0158 8 1 2022 03 21 A Multi-Objective Approach to Portfolio Optimization Problem Using the Analytic Hierarchy Process (AHP) and Genetic Algorithm -بهینه‌سازی چندهدفه مسأله سبد سهام با استفاده از تحلیل سلسله مراتبی و الگوریتم ژنتیک 49 70 1294 10.22091/jemsc.2019.1294 EN Mohammad Moshrefi industrial engineering/ Bu ali Sina university/ Hamedan- Iran Javad Behnamian Associate Professor, Department of Industrial Engineering, Faculty of Engineering, Bu-Ali Sina University, Hamedan, Iran Journal Article 2019 04 10 This study analyzes the portfolio optimization model, by considering the financial management and investment science in order to evaluate risks and return in regard with restrictions such as buyers’ assets for purchasing per share. Accordingly, a novel model is designed as linear programming in order to optimize the investment portfolio, considering the expected rate of return, the minimum risk, and the buyer’s assets. After the introduction of the model as linear programming and expressing the related limitations, different types of investments which an investor can consider in order to form an investment portfolio were studied. Finally, an approach is proposed to solve the model by using the genetic algorithm, and is implemented and analyzed in regard with a real example. According to the results of this study, the new model reduced downside risk in comparison with previously proposed models, in a manner that its stair descent continues as the number of shares under study increases. https://jemsc.qom.ac.ir/article_1294_39b51e4bd6ddf05eadcbb9b98027bd40.pdf