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

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Adinevand Dariush; Ali Razini Ebrahim; Khodam Mahmoud; Ohadi Fereydoun; Hashemizadeh Elham Elsadat

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Financial Economics Year:2023 | Volume: | Issue: Page(s): 307-322

Download Full-Text

Persian Verion

View:

Download:

Cites:

Information Journal Paper

Title

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

Author(s)

Keywords

OptimizationQ4

Genetic AlgorithmQ4

Particle Swarm OptimizationQ4

Conditional Value at Risk and Mean Semi VariancesQ4

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.

Cites

No record.

References

No record.

Cite

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops