Multiobjective Optimization of Allocated Exchange Portfolio: Model and Solution—A Case Study in Iran

Table 6

Information obtained of WGC method results, with assumption 𝑝=1, 2, and ∞.

Objective function	𝐹^∗1	𝐹^∗2	−𝐹^∗3
Objective name	Risk	Rate of return	Income	Cost
𝑝=1
Mean	0.000385422	0.000275693	0.141152048	—
Min	0.000028221	0.000170333	0.000806933	—
Max	0.006777075	0.000349021	0.294885220	—
𝑝=2
Mean	0.000610893	0.000284013	0.161748217	—
Min	0.000028248	0.000172807	0.001455988	—
Max	0.002308977	0.000348946	0.281424452	—
𝑝=∞
Mean	0.000789979	0.000281186	0.179850336	−0.002756123*
Min	0.000027132	0.000172041	0.000094981	−0.000255917**
Max	0.003797903	0.000348978	0.286319160	−0.007842553***

Notes: ∗Mean of cost value obtained (disregard its negative mark).
∗∗Minimum of cost value obtained (disregard its negative mark).
∗∗∗Maximum of cost value obtained (disregard its negative mark).