A Comparative Study of Dynamic Portfolio Optimization Using Grey Relational Analysis Methods and Basic Methods (Average, Moving Average and Moving Average) in Tehran Stock Exchange
Subject Areas : Journal of Capital Market Analysis
Reza Adak
1
,
Mehdi Meshki Miavaghi
2
*
,
Mohammad Hassan Qolizadeh
3
1 - Department of financial engineering, Rasht branch, Islamic Azad University, Rasht, Iran.
2 - Associate Professor, Faculty of accounting & Finance, Payame Noor University, Tehran, Iran
3 - Associate Professor, Business Management Department, Faculty of Literature and Human Sciences, Gilan University, Gilan, Iran.
Keywords: Basic methods, data envelopment analysis, Dynamic Portfolio Optimization, the strategies of grey relational algorithm,
Abstract :
Objective: The Ranking Of Financial Assets For Investment Decision Making Is One Of The Most Important Stages For Portfolio Formation.Different And Different Methods Are Used To Perform Ranking. In This Research, A New Integrated Method Is Used For Ranking Which Investors Using It Can Determine Their Specific Goals By Considering The Return, Risk And Profit. This Research Is Based On Two Main Goals: First, Ranking Portfolios Based On The Grey Relational Analysis And The Second Method Is Compared To Classic Methods, Which Are Named Fundamental Methods In This Research. Methodology: To Implement The Research Topic, 11 Weight And Investment Strategies Were Defined For The Method Of Grey Relational Analysis And 3 Strategies For Basic Methods.The Study Population Includes Companies Listed In Tehran Stock Exchange And The Sample Consisted Of Five Top Industries At The Beginning Of The Study Including Investment, Chemical, Iron And Steel Industries, Banks And Oil Products And Products.In These Five Industries With The Conditions That Were Considered In The Study, 160 Companies Were Selected As The Sample And To Examine The Hypotheses, Mann - Whitney U Test Was Used To Compare The Results Of Grey Analysis Method With The Basic Method Of Data Envelopment Analysis. Results: In General, The Results Of The Study Show That The Grey Relational Algorithm Is A More Efficient Method Than The Baseline Method When The Goal Of Investing In The Best Part Is The Grey Relational Algorithm (2020), As Well As Hamza cebiza Abi And Pekkaya (2011)