Portfolio risk control using particle swarm algorithm
Subject Areas : Financial Knowledge of Securities Analysisnasim mohammadhasani 1 , Narges Yazdanian 2 , jafar jamali 3 , maryam teimourian 4
1 - PhD student in Financial Engineering, Department of Financial Management, Faculty of Management and Economics, Roudhan Branch, Islamic Azad University, Tehran, Iran
2 - Assistant Professor, Department of Financial Management, Department of Financial Management, Faculty of Management and Economics, Roudhan Branch, Islamic Azad University, Tehran, Iran, email address nargesyazdanian@gmail.com(Corresponding Author)
3 - Assistant Professor, Department of Financial Management, Faculty of Management and Economics, Science and Research Unit, Islamic Azad University, Tehran, Iran
4 - Assistant Professor, Department of Statistics and Mathematics, Rodhan Branch, Islamic Azad University, Tehran, Iran
Keywords: Risk control, portfolio, particle swarm algorithm, stock market,
Abstract :
In this research, the improved particle swarm algorithm has been used to optimize risk control in the portfolio. The data of the second quarter of 2012 for 50 active companies of Tehran Stock Exchange were used and the values of market value, opening price, closing price and yield on 10 different dates were extracted and the advanced particle swarm algorithm was used to optimize portfolio risk control. The values of simulation parameters are given in table (3-4). The risk-free rate of return represents the amount of profit or return that an investor expects from an investment with absolutely zero risk during a certain period. This rate is the minimum amount of return that the investor expects for each investment. The investor will not accept additional risk as long as the risk of possible return is not greater than the risk-free interest rate.The value of the risk-free rate of return in 1402, 23%, Sharp's measure for share return, 23 selected companies is equal to 17.69, while for all companies it is equal to 11.56, which indicates the reduction of investment risk and the increase of its profit in the selected companies. The high level of this criterion represents the yield achieved with less risk. Trainor's measure of return on equity is 0.15 for 23 selected companies and 0.12 for 50 active companies. The higher the amount of trainer, the better portfolio is created. Jensen's stock return ratio is the same for 23 selected companies and 50 active companies and is 0.22
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