Multiple portfolio optimization in Tehran Stock Exchange

محورهای موضوعی : Financial Mathematics

Shadi Khalil Moghadam ¹ (PhD Student, Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.)
Farimah Mokhatab Rafiei ² (Associate Prof., Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.)
Mohamad Ali Rastegar ³ (Assistant Prof., Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.)
Hamed Aghayi Bejestan ⁴ (PhD Student, Department of Financial Engineering, Faculty of Industrial Engineering & Systems, Tarbiat Modares University, Tehran, Iran.)

تاریخ دریافت : 1400/02/20 تاریخ پذیرش : 1400/12/04 تاریخ انتشار : 1401/10/11

کلید واژه: Tehran Stock Exchange, Mult portfolio optimization, Market impact,

چکیده مقاله :

Managing a single portfolio is a basic assumption in the most of research. However, in reality, an advisor manages many accounts at the same time; therefore, there is a significant dependency among portfolios and correlation between decisions on one portfolio with the performance of others, so the results of multi portfolio is different with classic models (single portfolio management, that portfolios are optimized independently) due to market impact and the trade dependency of one account to the other accounts. We propose a structural model to optimize accounts simultaneously, considering interdependences, decision’s correlation and mutual behavioral effects of managed portfolios. Moreover, to compare and analyze both single portfolio and multi portfolio approaches, real data from Tehran Stock Exchange in 1398 are used and model is solved with GAMS. Results indicate that multi portfolio optimization excel other approach and consequence notable improvement on the perspective of customer and advisor. Also, for the validation of the proposed model, the selected stocks are considered in pairs to solve the model and the results show the proper performance of the model with different stocks, thus indicating the validity of the model.

منابع و مأخذ:

[1] Aghamohammadi, R., Tehrani, R., Raad, A., Portfolio Optimization Based on Semi Variance and Another Perspective of Value at Risk Using NSGA II, MOACO, and MOABC Algorithms, Advances in Mathematical Finance & Applications, 2022, 7(1), P.115-131. Doi: 10.22034/AMFA.2020.1907264.1479

[2] Esmaeili, B., Souri, A., Mirlohi, S., M., Higher moments portfolio optimization with unequal weights based on Generalized Capital Asset Pricing Model with Independent and Identically Asymmetric Power Distribution, Advances in Mathematical Finance & Applications, 2021, 6(2), P.263-283. Doi: 10.22034/AMFA.2020.1909590.1484

[3] Fabozzi, F. J., Focardi, S. M., and Kolm, P. N., Quantitative equity investing: Techniques and strategies, John Wiley & Sons. 2010

[4] Fu, J., Information pooling game in multi-portfolio optimization, Contributions to Game Theory and Management, 2017, 10, P. 27-41.

[5] Ji, R., Lejeune, M. A., Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints, Ann Oper Res, 2018, 262, P.547–578.

[6] Lampariello, L., Neumann, CH., Ricci, J.M., Sagratella, S., Equilibrium selection for multi-portfolio optimization, European Journal of Operational Research, 2021, 295, P.363-373.

[7] Mousavi, S. H., Mehregan, N., Yousefi, M. R., Presentation of a Mathematical Model for Optimal Portfolio in the Form of a Dynamic Stochastic General Equilibrium Model for Economy of Iran, Advances in Mathematical Finance & Applications, 2022, 7(1), P.81-96. Doi: 10.22034/AMFA.2020.1884853.1338

[8] LIU, Y. J., ZHANG, W. G., ZHAO, X. J., Fuzzy multi-period portfolio selection model with discounted transaction cost, Soft Computing, 2016, P.1-17.

[9] MARKOWITZ, H., Portfolio selection, The journal of finance, 1952, 7, P.77-91.

[10] MEHLAWAT, M. K., Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels, Information Sciences, 2016, P.345, 9-26.

[11] O'CINNEIDE, C., SCHERER, B., XU, X., Pooling trades in a quantitative investment process, The Journal of Portfolio Management, 2006, 32, P.33-43.

[12] O'CONNELL, J. F., Welfare economic theory, Auburn House, 1982.

[13] SAVELSBERGH, M. W., STUBBS, R. A., VANDENBUSSCHE, D., Multiportfolio optimization: A natural next step, Handbook of portfolio construction, Springer, 2010.

[14] STUBBS, R. A., VANDENBUSSCHE, D., Multi-portfolio optimization and fairness in allocation of trades, White paper, Axioma Inc. Research Paper, 2009, 13.

[15] RASTEGAR, M. A., EGHBALREIHANI, N., Order Splitting Strategy to Reduce Market Impact in Tehran Stock Exchange. Financial Research Journal, 2019, 21, P. 321-346.

[16] YANG, S. C., LIN, T. L., CHANG, T. J., CHANG, K. J., A semi-variance portfolio selection model for military investment assets, Expert Systems with Applications, 2011, 38, P.2292-2301.

[17] YANCU, D. A., TRICHAKIS, N., Fairness and efficiency in multiportfolio optimization, Operations Research, 2014, 62, P.1285-1301.

[18] Yu, G., Cai, X., Zhuoyu Long, D., Zhang, L., Multi-portfolio Optimization: A Fairness-aware Target-oriented Model, Risk Management eJournal, 2020.

[19] Zhang, G., Zhang, Q., Multiportfolio optimization with CVaR risk measure, J of Data, Inf. And Manag, 2019, 4, P.91-106.