An Extended Stochastic Goal Mixed Integer Programming for Optimal Portfolio Selection in the Amman Stock Exchange

Abstract

This paper optimally solves the portfolio selection problem that consists of multi assets in a continuous time period to achieve the optimal trade-off between multi-objectives. In this paper, the Stochastic Goal Mixed Integer programming of Stoyan (2009) is extended. The empirical contributions of this research presented on extending the SGMIP model by adding information as a new factor that selects the portfolio elements. The information element used as a portfolio managing characteristics to see whether it is applicable for different problems. The data was collected on a daily basis for all the parameters of the individual stock. Brownian motion formula was used to predict the stock price in the future time period. SP framework used to capture numerous sources of uncertainty and to formulate the portfolio problem. The main challenge of this model is that it contains additional real-world objective and multi types of financial assets, which form a Mixed Integer Programming (MIP). This large-scale problem solved using Optimising Programming Language (OPL) and decomposition algorithm to improve the memory allocation and CPU time. A fascinating result was obtained from the portfolio algorithm design. The ESGMIP portfolio outperforms the Index portfolio return. Under uncertain environment, the availability of information rationalized the diversity when the dynamic portfolio invested in one financial instrument (stocks), and tend to be diversifiable when invested in more than one financial instrument (stock and bond). This work presents a novel extended SGMIP model to reach an optimal solution.

Shariah review of Brownian motion of Islamic stock market elements: establishing the benchmarks of Islamic econophysics

“…Zakaria and Jaffar (2016) observe high accuracy in Brownian motion of Islamic stocks in case of Malaysian settings. Alhalaseh et al (2019) extend the concept of Brownian motion from movement of stock prices to prediction of stock prices in Amman for optimal portfolio selection. Hersugondo et al (2022) apply Brownian motion for price prediction in Jakarta Islamic Index (JII) and reports that the results are highly accurate when the data is normally distributed.…”

Strategic Flexibility Mediating the Impact of Entrepreneurial Orientation on Organizational Excellence

“…Jordanian commercial banks constituted the study population, which numbered thirteen commercial banks. This sector plays an important role in the Jordanian economy and is characterized by innovation and strong competition (AlHalaseh et al, 2019). The analysis included all managers working in the upper and middle management, their deputies, department managers, and branch managers in Jordanian commercial banks based on the report of Jordanian commercial banks, totals as ( 1023) individuals (Amman Financial Market).…”