List of Articles optimal portfolio

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  1 - Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk
  Ali Asghar Shahriari saeed Daei-Karimzadeh Reza Behmanesh
  10.30495/jfksa.2021.19255
  Devaluation of assets in the future is one of the most important investment concerns that has led investors to choose the set of assets that have the lowest risk and highest return. The present study deals with the problem of stock portfolio optimization according to th More

  Devaluation of assets in the future is one of the most important investment concerns that has led investors to choose the set of assets that have the lowest risk and highest return. The present study deals with the problem of stock portfolio optimization according to the Conditional Value at Risk based on the new and intelligent fireworks algorithm and compares it with genetic algorithm with the historical simulation method using MATLAB software. The parameters of meta-heuristic algorithms were adjusted by Taguchi method using MINITAB software. Not suspended, used. For reliability of the study, generalized Dickey-Fuller test and Phillips-Prone test were used. To evaluate the accuracy of the Conditional Value at Risk model, the kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used.  A comparison was also made between the models by Lopez test. Findings showed that at %95 and %99  confidence levels, the conditional risk value model using the fireworks algorithm has a suitable and reliable validity for measuring market risk and optimizing the stock portfolio. Manuscript profile
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  2 - Optimal Portfolio of Syndicated Loans with Downside Risk Approach
  hossein rezaei Mohammad Oghbaei Jazani
  10.30495/jfksa.2022.21088
  In the bank-based structure of the country's economy, banks are most responsible for financing, especially at the level of large projects. The purpose of repaying a loan through a syndicated mechanism is to reduce the undesirable risk and increase the effective loan rat More

  In the bank-based structure of the country's economy, banks are most responsible for financing, especially at the level of large projects. The purpose of repaying a loan through a syndicated mechanism is to reduce the undesirable risk and increase the effective loan rate. The statistical population of this study is the balance sheet information of the last five years (1396-1400) of banks listed on the Tehran Stock Exchange. In this research, the postmodern theory of portfolio based on variance of unfavorable data or half-variance-half-covariance has been used. To test the research hypothesis with the help of MATLAB software, the contact point of the efficient boundary of the model and the capital market line at different interest rates has been calculated and the optimal portfolio of syndicated loans has been determined. The results show; The payment of syndicated loans in the form of civil partnership and Mudaraba contracts has the highest interest and the lowest risk, and in contrast, forged loan agreements and installment sales have the lowest interest and the highest risk Manuscript profile
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  3 - Financial Risk Modeling with Markova Chain
  Fraydoon Rahnamay Roodposhti Hamid Vaezi Ashtiani Bahman Esmaeili
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  4 - Explain the behavior of the optimal portfolio choice than the standard financial
  Majid Zanjirdar Reza Mosavi Maryam Saberi
  The purpose  of this study explain the behavior of the optimal portfolio choice than the standard assumptions of classical finance is Markowitz. The 5-year interval of the listed companies in Tehran Stock Exchange for the years 1386-1389 were examined Between the 1 More

  The purpose  of this study explain the behavior of the optimal portfolio choice than the standard assumptions of classical finance is Markowitz. The 5-year interval of the listed companies in Tehran Stock Exchange for the years 1386-1389 were examined Between the 118 companies analyzed statistically compared using ANOVA and regression tests, Behavioral and mental accounting dominant influence on stocks and investment Optimal portfolio selection with higher yields than comparable financial misstatement was determined by standard The research consisted of two main hypothesis was that the first hypothesis was that the expected return on the portfolio choice behavior model Expected return is higher than the standard model that the measure was taken to confirm The second hypothesis was based on the claim that the portfolio's expected risk choice behavior model less Risk is the expected standard model with respect to the results achieved were acceptable. Manuscript profile
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  5 - The investigation of loss aversion in investment companies in Tehran stock exchange
  Zahra Madahi Roya Derakhshani
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  6 - The Tail Mean-Variance Model and Extended Efficient Frontier
  Esmat Jamshidi Eini Hamid Khaloozadeh
  10.22034/amfa.2020.1892182.1365
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  7 - Multi-objective possibility model for selecting the optimal stock portfolio
  Abdolmajid Abdolbaghi Ataabadi Alireza Nazemi Masoumeh Saki
  10.22034/amfa.2022.1952682.1705
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  8 - Portfolio Optimization and the Momentum- Contrarian Strategy (MCS)- Based Performance: Evidence from Tehran Stock Exchange
  Homayun Soltanzadeh Reza Keykhaei Abdolmajid Abdolbaghi Ataabadi Mohammad Hosein Arman
  10.30495/jsm.2022.1966975.1685
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  9 - The effect of liquidity and diversification on choosing the optimal investment portfolio
  ABBAS KHADEMPOUR ARANI Mehdi Madani Zaj AmirReza Keyqobadi QolamReza Zomorodian
  Examining the results in the case where there is a liquidity cost and a diversification index in the model, shows that the industries that have more stability in their stock prices over time have more weight in the optimal portfolio. In addition, performing statistical More

  Examining the results in the case where there is a liquidity cost and a diversification index in the model, shows that the industries that have more stability in their stock prices over time have more weight in the optimal portfolio. In addition, performing statistical analysis with total index return data in this case does not show the existence of a significant relationship between the average portfolio return data and the average return of the total index .By removing the cost of liquidity from the model, the examination of the output data shows that the average weight share of the petroleum products industry and the metal ore industry increases compared to the previous state, which means that these two industries are less liquid; Meanwhile, the average return and value at risk of the portfolio increases in this case. Performing statistical analysis with total index return data in this case shows a significant relationship between the average return of the portfolio and the average return of the total index. In the case of removing the diversification limit from the model, the results of the research in this case show that the average weight of the selected industries in the optimal portfolio changes, but this change is not very noticeable, and the result is that this limitation can be ignored in the model; In addition, performing statistical analysis with total index return data shows a significant relationship between the average portfolio data in this case and the average index return. Manuscript profile
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  10 - Integrated Multi-Objective and Econometrics Model for Stock Portfolio Optimization
  Abbas KhadempourArani Amirreza Keyghobadi Mehdi MadanchiZaj Gholamreza Zomorodian
  10.30495/faar.2022.693677
  AbstractFor the growth and development of countries, companies, and even individuals, investment on their part is necessary and vital, and these investments should be optimal for more benefit and effectiveness. Since the introduction of Markowitz's theory and even befor More

  AbstractFor the growth and development of countries, companies, and even individuals, investment on their part is necessary and vital, and these investments should be optimal for more benefit and effectiveness. Since the introduction of Markowitz's theory and even before that, the concept of optimal investment as a compromise between risk and return has been considered. During several decades after that, new definitions and dimensions of optimal criteria and especially risk have been proposed.In this article, an attempt has been made to present a model of liquidity risk using the concept of diversification in the form of Shannon's entropy and an econometric approach, an optimal portfolio of investments with the lowest risk and the highest return, in the form of a portfolio of 4 industrial groups of the Tehran Stock Exchange, including metal groups. Essentially, banks, oil products and metal ores, which have the highest market value of the Iranian stock market, should be provided.The statistical data of this research for selected industries include daily price index return and daily price gap return between 2015 and the end of 2019. To calculate the liquidity risk, using multivariate GARCH methods, the variance-covariance matrix of price index return and price gap, calculated and used in the presented model, and finally the optimal weight using coding in MATLAB software and using algorithm optimization method The genetics of non-excessive ranking of the second edition has been calculated for selected industries.The output results of the model show that the optimal weight of the groups with less variance in the optimal portfolio is higher. Besides, the effect of removing the concept of liquidity from the model leads to an increase in the weight of industries that have less liquidity, and along with the increase in risk, the return of the optimal portfolio also increases in this case. Also, by removing the limitation of Shannon's diversification index, the output results show that this limitation has almost no effect on the optimal weights (at least in this model). Manuscript profile
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  11 - Determining optimal portfolio using fuzzy goal programing based on black hole and hybrid algorithms, considering investors preferences
  Hamed Omidi hamedreza vakilifard
  The variety of investment methods and the complexity of decision making has strongly developed in recent decades, and due to this  widespread  growth , there has been created need to inclusive and integrative models . to meet this need , financial modeling is More

  The variety of investment methods and the complexity of decision making has strongly developed in recent decades, and due to this  widespread  growth , there has been created need to inclusive and integrative models . to meet this need , financial modeling is created from the connection between financial approach and mathematical planning.Assessing risk assets is one of the most important research issues in the financial field .There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models(black hole algorithms ,hybrid algorithms and gravity) have been used. And finally, it has been compared to the results of the Markowitz pricing  model. Manuscript profile
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  12 - Modeling criteria for determining and commercializing the optimal portfolio of agricultural stocks in Tehran Stock Exchange
  Sina Shirtavani Mahdi Homayounfar Keyhan  Azadi Amir  Daneshvar
  Investing in financial markets and using investment opportunities in the capital market is clearly one of the most important issues in achieving sustainable economic growth and development, especially in developing countries. Therefore, it is important that the criteria More

  Investing in financial markets and using investment opportunities in the capital market is clearly one of the most important issues in achieving sustainable economic growth and development, especially in developing countries. Therefore, it is important that the criteria for determining the optimal stock portfolio in the Tehran Stock Exchange market are specified and researchers use a standard index to determine the optimal stock portfolio so that commercialization patterns of agricultural stocks can be modeled and determined. Based on this, the present study was designed with the aim of answering the question of what are the effective criteria in measuring the risk and return of the portfolio of agricultural stocks in the Tehran Stock Exchange. The method of conducting the current research was a field survey using a survey of 30 managers of companies active in the field of agriculture in the Tehran Stock Exchange market. The data collection tool was a researcher-made questionnaire, and the data analysis tool was Spss version 23, Topsys Fazi and Lisrel version 5.8. The results of the data analysis showed that the most important appropriate criteria in determining the optimal stock portfolio are profitability, growth, risk, liquidity and market criteria in the order of first, second, third, fourth and fifth priority. Also, the appropriate model for determining the optimal portfolio risk of agricultural stocks included: financial and systematic risk, commercial risk, and market price, as well as the appropriate model for determining the optimal portfolio return of agricultural stocks included: profitability, growth, and... liquidity. Manuscript profile