Designing and developing an optimal stock portfolio model using the locust algorithm and comparing it with Markowitz
Subject Areas :رضا بصیری 1 , Saeed Aghasi 2 * , مهدی اشرفیان قینانی 3
1 - Doctoral student of Management Department, Dahaghan Branch, Islamic Azad University, Dahaghan, Iran.
2 - Assistant Professor, Department of Management, Dehagan Branch, Islamic Azad University, Dehagan, Iran (Responsible Author)
3 - senior expert in management department, Dahaghan branch, Islamic Azad University, Dahaghan, Iran
Keywords:
Abstract :
Determining an optimal portfolio of stocks in the stock exchange for scientific and engineered investments is of great importance, and today investors in stock exchanges around the world pursue such a goal. For this reason, various methods have been proposed and implemented to create an optimal portfolio of stocks. The purpose of this research is to select an optimal portfolio of stocks using the Molekh meta-heuristic algorithm and compare it with Markowitz in the Tehran Stock Exchange. The research method is descriptive-analytical of post-event type and is considered an applied research. The statistical population includes all companies listed on the Tehran Stock Exchange during the years 2015 to 2019, and the research sample includes 16 of the most active companies on the exchange during the period under review. The financial information of the sample companies was extracted using document mining in Excel and after summarizing it, it was used for analysis to determine the optimal stock portfolio using the Grasshopper and Markowitz algorithms. The results showed that based on the lowest risk, the Grasshopper algorithm is more efficient than the Markowitz model. Therefore, it is suggested that the formation of an optimal stock portfolio for investors be based on the Grasshopper algorithm.
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