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Advances in Mathematical Finance and Applications
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Miri, I., Fotros, M., Miri, A. (2020). Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms. Advances in Mathematical Finance and Applications, 5(1), 1-12. doi: 10.22034/amfa.2019.1870129.1235
Idris Miri; Mohammad Hassan Fotros; Ayob Miri. "Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms". Advances in Mathematical Finance and Applications, 5, 1, 2020, 1-12. doi: 10.22034/amfa.2019.1870129.1235
Miri, I., Fotros, M., Miri, A. (2020). 'Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms', Advances in Mathematical Finance and Applications, 5(1), pp. 1-12. doi: 10.22034/amfa.2019.1870129.1235
Miri, I., Fotros, M., Miri, A. Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms. Advances in Mathematical Finance and Applications, 2020; 5(1): 1-12. doi: 10.22034/amfa.2019.1870129.1235

Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms

Article 1, Volume 5, Issue 1, Winter 2020, Page 1-12  XML PDF (875.36 K)
Document Type: Research Paper
DOI: 10.22034/amfa.2019.1870129.1235
Authors
Idris Miri email 1; Mohammad Hassan Fotros2; Ayob Miri3
1Faculty of Management and Accounting, Orumieh,Iran
2Faculty of Economic and Social Sciences,Hamedan university, Iran
3Faculty of Economics and Social Sciences,Hamedan university, Iran
Abstract
The gaining returns in line with risks is always a major concern for market play-ers. This study compared the selection of stock portfolios based on the strategy of buying and retaining winning stocks and the purchase strategy based on the level of investment risks. In this study, the two-step optimization algorithms NSGA-II and SPEA-II were used to optimize the stock portfolios. In order to determine the winning algorithm, the performance indexes, Set coverage and the Mean Ideal Distance were used. Finally, the active shares of 50 Tehran Stock Exchange com-panies were analysed (2007-2016). The results indicate that the SPEA-II algo-rithm can perform optimization and achieve a better performance than the NSGA-II. This algorithm could achieve better outcomes than the winning strategy during the selection period based on the risk-taking strategies in different months
Keywords
Meta-Heuristic Algorithms; Trading Strategies; Performance Criteria
Main Subjects
Risk Management
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