Using intelligent methods in Solving Constrained Portfolio in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Esmat Jamshdi Eyni ¹ , Hamid Khaloozadeh ²

1 - کارشناس ارشد مهندسی برق، گروه کنترل، دانشگاه صنعتی خواجه نصیرالدین طوسی
2 - استاد دانشکده مهندسی برق، گروه کنترل، دانشگاه صنعتی خواجه نصیرالدین طوسی.

Received: 2014-06-22 Accepted : 2014-09-26 Published : 2016-09-22

Keywords: portfolio, Conditional Value at Risk, Particle Swarm Optimization Al, Genetic algorithm, Imperialist Competitive Algori,

Abstract :

The optimal portfolio selection problem to find an optimal way to allocate a fixed amount of capital to a set of available assets which aims to maximize expected returns and minimize risk at the same time, to take place. In this Study is shown that an investor with n risky share, how to reach certain profits with minimal risk. Such a portfolio, efficient portfolio is called. For this purpose, the study of evolutionary algorithms, Genetic Algorithm, Imperialist Competitive Algorithm and Particle Swarm Optimization algorithm, also with regard to the basic constraints on the investment, we use these practical methods to solve the portfolio optimization problem. Practical results for the portfolio optimization problem in the Tehran Stock Exchange, of the30 company's active in the industry with the selection of20companies along with their validation, is obtained. Aims to help investors better and more practical to select different stocks and thus is an effective investment.

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