Iranian Financial Engineering Association(IFEA) International Journal of Finance & Managerial Accounting 2588-4379 6 21 2021 04 01 Multi objective portfolio optimization for a private equity investment company under data insufficiency condition 23 37 17231 EN Jamil Jalilian Sinecure and research Reza Ehtesham Rasi Department of Industrial Management, Qazvin Branch, Islamic Azad University, Qazvin. Mirfeiz Fallah Shams Associate Professor of Azad University, Tehran markaz branch, Tehran, Iran 0000-0001-7989-8703 Journal Article 2020 01 30 Selecting an appropriate portfolio making an optimal trade of between the return of assets and the associated risk of them has been always a fundamental challenge for different investors with different types of assets. The problem becomes more complex for an investor investing in private companies of which she doesn’t have enough data to evaluate its return and risk. Furthermore, this type of investment involves selecting more high risk assets which may not meet the risk attitude of the investor. In this study, a bi-objective portfolio optimization model has been developed to determine the best sets of portfolios for a private investing company. Due to the lack of data on private assets, a simulation based approach has been used to estimate the return of different assets as well as their correlations. A Covariance-Based Artificial Bee Colony is applied to solve the model. The results show that optimal portfolios consist both high-risk and low-risk assets. http://www.ijfma.ir/article_17231_a9b67cca413479cd258a8b3687aa693e.pdf