Two stage combination model for portfolio optimization via smart BETA strategies.

Subject Areas : Financial engineering

mohammad sharafi ¹ , Nowrouz Nourollahzadeh ² , fatemeh sarraf ³

1 - Department of Accounting and Management, South Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Accounting and Management, South Tehran Branch, Islamic Azad University, Tehran, Iran
3 - Department of Accounting and Management, South Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2021-07-18 Accepted : 2021-10-21 Published : 2022-06-22

Keywords: "Portfolio Optimization", "Smart Beta", "Fuzzy algorithm", "momentum",

Abstract :

The issue of stock portfolio selection has always been one of the most attractive and practical issues in financial markets. The present article introduces a two-stage model for stock portfolio optimization by using a combination of the six smart beta strategies founded in the literature and fuzzy approach. In this article, first, the six factors of smart beta factores, for 76 pharmaceutical and steel companies active in the stock market, are calculated by using the financial information in the financial statements of 2016 and 2017 and their trading information in the period 2016 to 2017. Then, by combining the six factors of smart beta and fuzzy logic, the final weight of each share in the portfolio is determined. In order to evaluate the model, using SPSS software and Levin statistical test and based on yield information of the mentioned companies, during 2017 year, the difference between the efficiency of the proposed model and the index portfolio based on the market index was discussed. The results showed that at 95% confidence level, a higher profit can be obtained from the portfolio based on the proposed hybrid model.