Markowitz Model

Open Access Article

1 - Application of factor analysis in fuzzy DEA model combined with Markowitz's model portfolio to determine the most efficient companies in the Tehran Stock Exchange
Hamzeh Pourbabagol Mohammad hossin Nayyeri

The main goal In this paper is to merge fuzzy DEA with Markowitz model to construct optimized portfolio of efficient companies in Tehran bourse. So, first using of DEA we choose efficient companies as efficient group, although we choose two type of efficient companies w More

The main goal In this paper is to merge fuzzy DEA with Markowitz model to construct optimized portfolio of efficient companies in Tehran bourse. So, first using of DEA we choose efficient companies as efficient group, although we choose two type of efficient companies with adding controlling relative weight constraints for two type of investors ( risk aversive & risk taker ), Then, using of Markowitz model with regarding of the level of risk aversion, we construct efficient portfolio from efficient group.The large number of criteria is one of the MCDM model's problems for solving this problem we can use of factor analysis to reduce a complex data set to a lower dimension. In this paper with respect to experts's opinions,firstly the main variables corresponding to company's efficiency were assigned ( 15 financial ratio ) and then using of factor analysis we reduse the number of these variables to eight, after that with adding controlling relative weight constraints to DEA model, we construct efficient groap for two type of investors ( risk aversive & risk taker ). due to relativeness of risk and return in terms of investors, whit imputing investors to type( risk aversive & risk taker), efficient groaps were constituted. Finaly investor can, with regarding of the level of his risk aversion, using of Markowitz model, construct optimal portfolio from efficient groaps. Though in final step optimal portfolios were choosed from efficient groaps, thus one of the main problem of Markowitz model that is nonregarding other criterion except risk and return, will be soleved Manuscript profile

Open Access Article

2 - Comparing the performance of optimization models with equity investment funds: evidence from the Tehran Stock Exchange
Mahmood Pakbaz kataj Daryush Farid

10.30495/jfksa.2022.20220

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 compar More

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. Manuscript profile

Open Access Article

3 - Hybrid Portfolio Optimization using Analytic Hierarchy Process (AHP), Combined Compromise Solution (CoCoSo) and Markowitz Model (Case study of Tehran Stock Exchange)
Nasimeh Abdi mehdi Moradzadeh Fard Hamid Ahmadzadeh Mahmoud Khoddam

Using effective and efficient criteria in choosing the investment portfolio can provide the most profitability for individual and institutional investors. Therefore, it seems necessary to choose a hybrid method to create a portfolio that shows better performance. The pu More

Using effective and efficient criteria in choosing the investment portfolio can provide the most profitability for individual and institutional investors. Therefore, it seems necessary to choose a hybrid method to create a portfolio that shows better performance. The purpose of this study is to provide a model that can combine Multi-criteria decision-making techniques and Markowitz's mean-variance model, in different periods, to create an optimal portfolio that maximizes shareholder profits. The proposed model was implemented in three steps. In the first step, using the AHP technique, utilizing the opinion of experts, comparing different decision options based on the fundamental and technical criteria effective in decision making and prioritizing the mentioned criteria during the period from June 2016 to June 2021, among industries Activists in the Tehran Stock Exchange were selected as top industries. In the second step, from selected industries, three portfolios with one-month, six-month, and one-year periods were selected using the CoCoSo technique. In the third step, using the Markowitz model in the expressed time period, optimal portfolios were created on the efficient frontier. The results of this study showed that this hybrid proposed model will give more returns to investors according to the risk in different time periods. Manuscript profile

Open Access Article

4 - Robust model for optimal portfolio selection
Saeed Fallahpour Farid Tondnevis

In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can c More

In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can control the conservativeness of investor for portfolio selection by a defined parameter. We used 50 active company of Tehran exchange stock in 3 first months of 1392 to study the performance of model. The results of paired comparisons in out of sample experiments shows that Markowitz portfolio which has same expected return by robust portfolio, has lower Sharpe ratio. Manuscript profile

Open Access Article

5 - Optimizing Stock Portfolio with regard to Minimum Level of Total Risk using Genetic Algorithm
Maedeh Kiani Harchegani Seyed Ali Nabavi Chashmi Erfan Memarian

Risk and return are two main factors that have always been considered in the field of investment. Simultaneously with the advent of different models for portfolio optimization which the Markowitz model is the most important of those, the necessity to identify methods fo More

Risk and return are two main factors that have always been considered in the field of investment. Simultaneously with the advent of different models for portfolio optimization which the Markowitz model is the most important of those, the necessity to identify methods for solving these models gained great Importance. Genetic Algorithm is one of the most important metaheuristic methods used for the solution of the portfolio optimization models.This study aimed at evaluating the level of efficiency of this metaheuristic model in portfolio optimization. Therefore, in this study once we have calculated the optimal efficient frontier by the use of the genetic algorithm, and then we compared this optimal efficient frontier with the efficient frontier which was obtained through exact solution method. To achieve this purpose, 25 companies were selected from companies in Tehran Stock Exchange. The results of our study shows that the optimal efficient frontier gained through genetic algorithm is equal to the efficient frontier obtained using the exact solution method, and thereby indicating the high efficiency of genetic algorithm in portfolio optimization. The other result of the present study is that the comparison of the optimal portfolio gained through exact solution with the systematic and unsystematic risk, also revealed that Stock diversity in portfolios with unsystematic risk is much greater than portfolios with systematic risk. Manuscript profile

Open Access Article

6 - Promotion of Effective Level of Investment Management in Iran Capital Market using Artificial Neural Network and Fuzzy Logic
Hossein Amouzad Mahdiraji

One of the most important problems in capital market is allocating financial resources in an optimal fashion. In an effective capital market, from an operational point of view, the capital is allocated for the best investment option. Therefore, in order to establish mor More

One of the most important problems in capital market is allocating financial resources in an optimal fashion. In an effective capital market, from an operational point of view, the capital is allocated for the best investment option. Therefore, in order to establish more output, making use of appropriate management tools is a step toward more effective market management of transactions. Regarding backgrounds of applying Artificial Neural Networks and Fuzzy Logic in stocks investment and financial prediction, applying them in selecting an appropriate portfolio can lead to desired results for investors. The major goal of the current research is to achieve an optimal investment portfolio in capital market by applying Artificial Neural Network and Fuzzy Logic. Accompanied by Markowitz Model, models were used which were created through Artificial Neural Network. In order to establish investment portfolio, some of those companies were selected which were active in Tehran stock exchange, and which have had positive efficiency from the year 1386 to 1395. In order to evaluate the suggested portfolios in different conditions, the output of different portfolios based on the monthly and yearly output of the member companies were compared and optimization of suggested portfolios using genetic algorithm were carried out. The study shows that using the Fuzzy models versus mentioned models would provide higher output for the investors.     Manuscript profile

Open Access Article

7 - Portfolio optimization using gray wolf algorithm and modified Markowitz model based on CO-GARCH modeling
Fahime Jahanian Ahmad Mohammadi seyyed ali paytakhti oskooe Aliasghar Mottaghi

10.22034/amfa.2022.1966381.1787

Portfolio optimization which means choosing the right stocks based on the highest return and lowest risk, is one of the most effective steps in making optimal investment decisions. Deciding which stock is in a better position compared to other stocks and deserves to be More

Portfolio optimization which means choosing the right stocks based on the highest return and lowest risk, is one of the most effective steps in making optimal investment decisions. Deciding which stock is in a better position compared to other stocks and deserves to be selected and placed in one's investment portfolio and how to allocate capital between these stocks, are complex issues. Theoretically, the issue of choosing a portfolio in the case of minimizing risk in the case of fixed returns can be solved by using mathematical formulas and through a quadratic equation; but in practice and in the real world, due to the large number of choices in capital markets, the mathematical approach used to solve this model, requires extensive calculations and planning. Considering that the behavior of the stock market does not follow a linear pattern, the common linear methods cannot be used and useful in describing this behavior. In this research, portfolio optimization using the gray wolf algorithm and the Markowitz model based on CO-GARCH modeling has been investigated. The statistical population of the current research included the information of 698 companies from the companies admitted to the Tehran Stock Exchange for the period of 2011 to 2020. First, the optimal investment model is presented based on the gray wolf algorithm, and After extracting the optimal model, the efficiency of the gray wolf algorithm is compared with the Markowitz model based on CO-GARCH modeling. Manuscript profile

Open Access Article

8 - Determining the Optimum Investment Portfolios in the Iranian Banking Network Base on Bi-level Game using the Markowitz Optimization Model by Firefly Algorithm
Mehdi Memarpour Ashkan Hafezalkotob Mohammad Khalilzadeh Abbas Saghaei Roya Soltani

Manuscript profile

Open Access Article

9 - بهینه سازی سبد سهام با استفاده از الگوریتم Big Bang-Big Crunch
علیرضا علی نژاد

 سرمایه‌گذاری نقش تعیین ‌کننده‌ای در رشد اقتصادی دارد. یکی از اهداف اساسی کشورها، دستیابی به رشد اقتصادی و توسعه ی پایدار می‌باشد. امروزه حجم قابل توجهی از کار مدیران سرمایه گذاری و همچنین به طور عموم سرمایه گذاران، ساختن پورتفوی کارآمدی از دارایی هاست که اهداف تقا More

 سرمایه‌گذاری نقش تعیین ‌کننده‌ای در رشد اقتصادی دارد. یکی از اهداف اساسی کشورها، دستیابی به رشد اقتصادی و توسعه ی پایدار می‌باشد. امروزه حجم قابل توجهی از کار مدیران سرمایه گذاری و همچنین به طور عموم سرمایه گذاران، ساختن پورتفوی کارآمدی از دارایی هاست که اهداف تقاضا را برآورده سازد. در این تحقیق از مدل میانگین-واریانس مارکویتز به همراه محدودیت&rlm;های عدد صحیح و همچنین یک رویکرد فرا ابتکاری جدید به نام الگوریتم Big Bang-Big Crunch برای تشکیل سبد سهام بهره گرفته شده است. الگوریتم مورد استفاده در این تحقیق با سایر الگوریتم&rlm;های فراابتکاری نظیر الگوریتم شبیه‌سازی تبریدی، ژنتیک و... با استفاده از داده&rlm;های سهام شاخص‌های بورس هنگ کنگ، ایران و ژاپن مقایسه شده است و نتایج، حاکی از رقابتی بودن این الگوریتم برای حل مسأله بهینه‌سازی سبد سهام دارند. Manuscript profile

Open Access Article

10 - Stock Portfolio Optimization with MAD and CVaR Criteria by Comparing Classical and Metaheuristic Methods
Mohammad reza Haddadi Younes Nademi Fateme Tafi

Choosing the optimal stock portfolio is one of the main goals of capital management. There are several criteria for choosing the optimal portfolio. In this paper, using data of 10 stocks which randomly selected from the Tehran Stock Exchange including Vanovin, Vakharazm More

Choosing the optimal stock portfolio is one of the main goals of capital management. There are several criteria for choosing the optimal portfolio. In this paper, using data of 10 stocks which randomly selected from the Tehran Stock Exchange including Vanovin, Vakharazm, Seghrab, Shepna, Vapetro, Dana, Khasapa, Shekarbon, Shadous and Khahen, first the returns of these stocks are calculated and their portfolio risk is calculated using the models of absolute deviation risk and risk value, and these two criteria are compared by the classical solution method. The portfolio optimization output with each of these risks represents a different weight per share. In the optimization with the risk criterion of absolute deviation, the Dana has the highest weight and in the optimization with the value at risk criterion, the stocks of Segharb, Shepna and Shekarbon have the most weight. In the following, the deviation-absolute risk model and value at risk model of metaheuristic method are compared. The results show that the NSGA2 model of metaheuristic method compared to the classical method in solving portfolio optimization problem showed more risk in both MAD and CVaR criteria and therefore it is a better method to solve such portfolio optimization problems. Manuscript profile

Open Access Article

11 - Stock Portfolio optimization: Effectiveness of particle swarm optimization and Markowitz model
Ali Bayat lida asadi

The purpose of the portfolio management is the portfolio selection, the portfolio that acts as guidance to investors in order to achieve to maximum efficiency. In this study for portfolio selection, particle swarm optimization and Markowitz model are used and a comparis More

The purpose of the portfolio management is the portfolio selection, the portfolio that acts as guidance to investors in order to achieve to maximum efficiency. In this study for portfolio selection, particle swarm optimization and Markowitz model are used and a comparison was made between them. Introducing the model to select a portfolio for investors who can make the right choice with evaluation of that model is of our objectives in this study. For this purpose, literature and various studies are verified and a set of measures with regard to the purpose of the research was collected. Among the companies listed on the Tehran Stock Exchange, 65 companies were selected as sample for the period 2009 to 2013 and were analyzed as a statistical sample. To analyze the data, first the data is collected and categorized in software EXCEL and after doing calculations were analyzed using MATLAB software.TThe results of this research showed that the particle swarm optimization has a fewer errors in the selection of optimal portfolio compared with Markowitz model. The most important suggestion for future research is to compare the particle swarm optimization with other models of optimization such as, colonial competition, meta-heuristic, arbitrage model and etc. Manuscript profile

Open Access Article

12 - Determine the optimal portfolio weights var-stock approach And compare it with the Markowitz model
sayyedmohammadmahdi ahmadi hasan lotfi vali rajabi

Every investor is always looking for the investment portfolio that will bring him the most profit with the least risk. The standard deviation of an asset return is the amount of risk of that asset. In this study, the value-at-risk approach has been used as a measure of More

Every investor is always looking for the investment portfolio that will bring him the most profit with the least risk. The standard deviation of an asset return is the amount of risk of that asset. In this study, the value-at-risk approach has been used as a measure of risk in the formation of the optimal stock portfolio. By selecting a statistical sample consisting of seven companies operating on the Tehran Stock Exchange, first the variance-covariance matrix is extracted by the moving average weighted method (EWMA) and then the Markowitz model is calculated with the aim of reducing portfolio risk against an expected return level. Portfolio performance has been achieved. Then the value-at-risk limit is added to the efficient frontier chart, and then by analyzing the sensitivity of the value-at-risk value for different values of the level of confidence and the maximum risk accepted by the investor, we show that with the risk-value approach in forming the optimal portfolio Stocks may not change the limit of the Markowitz model, or be limited, or become a point, or even disappear. Manuscript profile

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