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

Table 8

Results of WGC method with assumption 𝑝=1.

Set	𝑗	𝑤1	𝑤2	𝑤3	𝑥^∗1	𝑥^∗2	𝑥^∗3	𝑥^∗4	𝑥^∗5	𝐹^∗1	𝐹^∗2	−𝐹^∗3
1	1	0.9	0.0001	0.0999	0.006871283	0	0.004708435	0	0.988420300	0.0000345306	0.0001703329	0.2776087571
	2	0.9	0.01	0.09	0.004696536	0	0.007527940	0	0.987775500	0.0000346430	0.0001709260	0.2776281561
	3	0.9	0.02	0.08	0.002499822	0	0.010375920	0	0.987124300	0.0000349232	0.0001715250	0.2776476956
	4	0.9	0.03	0.07	0.000303108	0	0.013223910	0	0.986473000	0.0000353709	0.0001721241	0.2776672811
	5	0.9	0.04	0.06	0	0	0.015664130	0.075280620	0.909055300	0.0000323410	0.0001859617	0.2568811641
	6	0.9	0.05	0.05	0	0	0.012701230	0.987298800	0	0.0000292790	0.0003485866	0.0045420655
	7	0.9	0.06	0.04	0	0	0.008756436	0.991243600	0	0.0000287172	0.0003487215	0.0033819825
	8	0.9	0.07	0.03	0	0	0.004811658	0.995188300	0	0.0000283654	0.0003488564	0.0022219703
	9	0.9	0.08	0.02	0	0	0.000866845	0.999133200	0	0.0000282239	0.0003489914	0.0010618182
	10	0.9	0.09	0.01	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
	11	0.9	0.0999	0.0001	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
2	12	0.8	0.0001	0.1999	0.008974214	0	0.007087938	0	0.983937800	0.0000347003	0.0001704976	0.2776791658
	13	0.8	0.02	0.18	0.004056237	0	0.013463850	0	0.982479900	0.0000352702	0.0001718388	0.2777229662
	14	0.8	0.04	0.16	0	0	0.019869360	0	0.980130600	0.0000366285	0.0001731108	0.2777791354
	15	0.8	0.06	0.14	0	0	0.026263540	0	0.973736500	0.0000383869	0.0001740353	0.2778906914
	16	0.8	0.08	0.12	0	0	0.032657720	0	0.967342300	0.0000406986	0.0001749598	0.2780022985
	17	0.8	0.1	0.1	0	0	0.028351590	0.971648400	0	0.0000335784	0.0003480514	0.0091445280
	18	0.8	0.12	0.08	0	0	0.019475800	0.980524200	0	0.0000307341	0.0003483549	0.0065343430
	19	0.8	0.14	0.06	0	0	0.010600010	0.989400000	0	0.0000289536	0.0003486585	0.0039241580
	20	0.8	0.16	0.04	0	0	0.001724232	0.998275800	0	0.0000282368	0.0003489620	0.0013139671
	21	0.8	0.18	0.02	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
	22	0.8	0.1999	0.0001	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
3	23	0.7	0.0001	0.2999	0.011678020	0	0.010147340	0	0.978174600	0.0000351099	0.0001707094	0.2777696451
	24	0.7	0.03	0.27	0.003233185	0	0.021095760	0	0.975671100	0.0000367854	0.0001730124	0.2778448457
	25	0.7	0.06	0.24	0	0	0.032066230	0	0.967933800	0.0000404614	0.0001748742	0.2779919702
⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮	⋮
	86	0.2	0.64	0.16	0	0	0.024873570	0.975126400	0	0.0000323371	0.0003481703	0.0081217336
	87	0.2	0.72	0.08	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
	88	0.2	0.7999	0.0001	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
9	89	0.1	0.0001	0.8999	0.141458800	0	0.156996600	0	0.701544600	0.0003080411	0.0001808756	0.2821127656
	90	0.1	0.09	0.81	0	0	0.387325700	0	0.612674300	0.0010372128	0.0002262387	0.2841922874
	91	0.1	0.18	0.72	0	0	0.617516200	0	0.382483800	0.0025967994	0.0002595203	0.2882097752
	92	0.1	0.27	0.63	0	0	0.847706600	0	0.152293400	0.0048749247	0.0002928020	0.2922272613
	93	0.1	0.36	0.54	0	0	1	0	0	0.0067770750	0.0003148210	0.2948852202
	94	0.1	0.45	0.45	0	0	1	0	0	0.0067770750	0.0003148210	0.2948852202
	95	0.1	0.54	0.36	0	0	0.694796100	0.305203900	0	0.0032856555	0.0003252590	0.2051313800
	96	0.1	0.63	0.27	0	0	0.375267800	0.624732200	0	0.0009780617	0.0003361868	0.1111650449
	97	0.1	0.72	0.18	0	0	0.055739370	0.944260600	0	0.0000490602	0.0003471147	0.0171986952
	98	0.1	0.81	0.09	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331
	99	0.1	0.8999	0.0001	0	0	0	1	0	0.0000282209	0.0003490210	0.0008069331

Remark: all results of column −𝐹^∗₃ are income.