Multiple portfolio optimization in Tehran Stock Exchange

Subject Areas : Financial Mathematics

Shadi Khalil Moghadam ¹ , Farimah Mokhatab Rafiei ² , Mohamad Ali Rastegar ³ , Hamed Aghayi Bejestan ⁴

1 - PhD Student, Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.
2 - Associate Prof., Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.
3 - Assistant Prof., Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.
4 - PhD Student, Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.

Received: 2021-05-10 Accepted : 2022-02-23 Published : 2023-01-01

Keywords: Tehran Stock Exchange, Mult portfolio optimization, Market impact,

Abstract :

Managing a single portfolio is a basic assumption in the most of research. However, in reality, an advisor manages many accounts at the same time; therefore, there is a significant dependency among portfolios and correlation between decisions on one portfolio with the performance of others, so the results of multi portfolio is different with classic models (single portfolio management, that portfolios are optimized independently) due to market impact and the trade dependency of one account to the other accounts. We propose a structural model to optimize accounts simultaneously, considering interdependences, decision’s correlation and mutual behavioral effects of managed portfolios. Moreover, to compare and analyze both single portfolio and multi portfolio approaches, real data from Tehran Stock Exchange in 1398 are used and model is solved with GAMS. Results indicate that multi portfolio optimization excel other approach and consequence notable improvement on the perspective of customer and advisor. Also, for the validation of the proposed model, the selected stocks are considered in pairs to solve the model and the results show the proper performance of the model with different stocks, thus indicating the validity of the model.

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