Comparing the performance of optimization models with equity investment funds: evidence from the Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Mahmood Pakbaz kataj ¹ , Daryush Farid ²

1 - Ph.D student of financial management, Department of Accounting and Finance, Faculty of Economics, Management and Accounting, Yazd University,Yazd , Iran
2 - Associate Professor of Management (Financial), Department of Accounting and Finance, Faculty of Economics, Management and Accounting, Yazd University, Iran. (Corresponding Author)

Received: 2022-07-16 Accepted : 2022-07-16 Published : 2022-05-22

Keywords: Black Literman model, Markowitz Model, Mutual Funds, portfolio optimization,

Abstract :

Since portfolio optimization models are based on past information, the efficiency of these models has always been questioned. In this study, first, an optimization model based on investor views is introduced and then the performance of all optimization models are compared with the performance mutual funds to both measure the effectiveness of these models and to achieve a practical model for this purpose. The research period is between 2016 and 1400 and MATLAB software has been used to obtain the optimal portfolio. The results show that using different evaluation criteria, the optimal portfolio of Black Literman model performs better than other optimization models and mutual funds; Also, the returns generated by all optimization models at the market risk level were significantly higher than the average returns of equity mutual funds and top mutual funds.

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