List of Articles واژه‌های کلیدی: بهینه‌سازی

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  1 - Portfolio Optimization of Listed Industries in Tehran Stock Exchange using Orthogonal GARCH
  sahar abedini esmaiel abounoori Gh. Reza Keshavarz Haddad
  10.30495/fed.2024.709335
  Abstract The development of financial markets and the stock market play an essential role in economic development. Considering that financial markets are always associated with risk and uncertainty, and shocks and turbulence in one market affect other markets, therefor More

  Abstract The development of financial markets and the stock market play an essential role in economic development. Considering that financial markets are always associated with risk and uncertainty, and shocks and turbulence in one market affect other markets, therefore, one of the main objectives of this research is to identify the type of distribution of financial series (stock returns of different industries) and estimate their uncertainty and risk (turbulence), determining the weight of stocks in the investment portfolio, as well as accurately identifying how the volatility changes and the intensity of correlation and interactions between the stocks of different industries over time in order to maximize the interests of investors and provide the necessary solutions to planners and policy makers Investors are for managing and developing the stock market.In order to optimize, statistics related to the weekly price index data of  selected industries (mass housing, banks and credit institutions, chemical, automotive, pharmaceutical and basic metals) have been used. For this purpose, using orthogonal GARCH model and weekly data of stock price index of different industries in the period March 27, 2010 and January 18, 2021, the elements of the variance-conditional covariance matrix were estimated, Then, the stock portfolio was optimized using the obtained information and the distribution of general hyperbolic (GH) skewed t, in the framework of the static and dynamic classical Mean-Variance model as well as the static Mean-CVAR model. The results of fitting (estimation) of the data distribution show that the return distribution of the price index of the studied industries follows the distribution of the general hyperbolic skewed t; Based on the dynamic classical mean-variance model, the highest weight in the stock portfolio in the study period was related to the pharmaceutical (0/6336) and chemical industries (0/3539), respectively. Manuscript profile
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  2 - Examining the Efficiency Models, Genetic Algorithm under MSV Risk and Particle Swarm Optimization Algorithm under CVAR Risk Criterion in Selection Optimal Portfolio Shares Listed Firms on Stock Exchange
  Dariush Adinevand Ebrahim Ali Razini Mahmoud Khodam Fereydoun Ohadi Elham Elsadat Hashemizadeh
  10.30495/fed.2023.707996
  Abstract Choosing the optimal stock portfolio is one of the main goals of capital management. Today, There are several tools and techniques for measuring portfolio risk and selecting the optimal stock portfolio. In this article, using data of 15 shares selected by purp More

  Abstract Choosing the optimal stock portfolio is one of the main goals of capital management. Today, There are several tools and techniques for measuring portfolio risk and selecting the optimal stock portfolio. In this article, using data of 15 shares selected by purposeful sampling method from the top companies of Tehran Stock Exchange Organization including; PKOD, ZMYD, BPAS, FOLD, MKBT, GOLG, MSMI, PTAP, SSEP, AZAB, FKAS, NBEH, PFAN, GMRO and GSBE, the First return of these stocks are calculated daily in the period of 31/3/1394 -31/3/1399 for 5 years for 1183 days and then using MATLAB software models The Metaheuristic Optimization of the Genetic Algorithm under the MSV Risk Criterion and the Particle Swarm Algorithm under the CVaR risk Criterion are Compared. The results show that the genetic algorithm model under MSV risk criterion is more efficient and less risky, therefore the genetic algorithm model under MSV risk criterion is more efficient than the particle swarm algorithm model under CVaR risk criterion. Manuscript profile