Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk
Subject Areas : Financial Knowledge of Securities Analysis
Ali Asghar
Shahriari
1
(Department of Management , Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran)
saeed
Daei-Karimzadeh
2
(Associate Professor, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.)
Reza
Behmanesh
3
(Lecturer of Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran)
Keywords: optimal portfolio, Conditional Value at Risk, Fireworks Algorithm, Genetic algorithm,
Abstract :
Devaluation of assets in the future is one of the most important investment concerns that has led investors to choose the set of assets that have the lowest risk and highest return. The present study deals with the problem of stock portfolio optimization according to the Conditional Value at Risk based on the new and intelligent fireworks algorithm and compares it with genetic algorithm with the historical simulation method using MATLAB software. The parameters of meta-heuristic algorithms were adjusted by Taguchi method using MINITAB software. Not suspended, used. For reliability of the study, generalized Dickey-Fuller test and Phillips-Prone test were used. To evaluate the accuracy of the Conditional Value at Risk model, the kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used. A comparison was also made between the models by Lopez test. Findings showed that at %95 and %99 confidence levels, the conditional risk value model using the fireworks algorithm has a suitable and reliable validity for measuring market risk and optimizing the stock portfolio.
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