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Using metaheuristic algorithm to solve a multi objective portfolio selection problem: Application in renewable energy investment policy
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N. Manavizadeh   , M. A. Yavari , H. Farrokhi-Asl |
| Department of Industrial Engineering, KHATAM University, Tehran, Iran |
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Abstract: (4507 Views) |
| Energy is one of the key factors in economic and satisfaction of energy demand is an indicator to show economic growth and community development. Renewable energy sources are desirable alternatives for conventional energies due to their advantages such as less pollutant and job generation growth. Hence, governments try to stimulate investors and non-government organizations to invest in renewable energy projects. In this study, a multi-objective mathematical model is proposed to determine the optimal portfolio for financing projects of renewable energies. The model aims to minimize the weighted cost of capital of the investors and to minimize greenhouse gas emissions. On the other hand, the model maximizes net present value and job generation for urban, rural, and remote areas. Bonds, common stocks, and bank loans are three possible ways to cover the required budget. The small size of the problem is solved exactly using GAMS 22.9 software. Since the non-deterministic polynomial-time hard nature of the problem, fast non-dominated sorting genetic algorithm is applied as a meta-heuristic solution approach to solve the large sized problems. The obtained results show the superiority of bonds among other capital sources. Moreover, we conclude that photovoltaic is the most attractive renewable source for electricity generation. |
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| Keywords: Portfolio Selection Problem, Engineering Economic, Renewable Energy Sources, Greenhouse Gases, Meta-Heuristic Algorithms |
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Full-Text [PDF 701 kb]
(1952 Downloads)
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Type of Study: Research |
Subject:
General
Received: 2017/05/9 | Accepted: 2017/09/20 | Published: 2017/07/19
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