Chance Constrained Compromise Programming Approach for Portfolio Selection in Tehran Stock Exchange

The diversity and complexity of decision-making method of investment in recent decades have greatly expanded. This massive growth requires a comprehensive and integrated model has created wide. To meet these requirements, financial modeling arose from financial approach and mathematical programming. This model uses from The mathematical programming model improvements and financial issues in parallel. In addition, Due to the dynamics of the capital markets, new needs in relation to the processes of portfolio models are identified. The theme of this paper relates to solving portfolio selection problems by using mathematical programming. In this paper we provide a review of the current state of research on Portfolio Management. Second we construct stock portfolio in Tehran Stock Exchange by considering some of constraints (budget, risk, …). For this purpose we considered TSE firms in 2013 and applied chance constrained compromise programming (cccp).