Compare Meta-heuristic Algorithms on Optimal Model of Multi Period Portfolio Based on the Value at Risk

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DAVOODI SAYYED MOHAMMAD REZA; Sadri Abolfazl

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Journal: JOURNAL OF SECURITIES EXCHANGE Year:2018 | Volume:11 | Issue:41 Page(s): 121-152

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Information Journal Paper

Title

Compare Meta-heuristic Algorithms on Optimal Model of Multi Period Portfolio Based on the Value at Risk

Author(s)

DAVOODI SAYYED MOHAMMAD REZA | Sadri Abolfazl | Issue Writer Certificate

Keywords

Multi Period PortfolioQ1

Value at RiskQ2

Genetic AlgorithmQ2

Particle Swarm Optimization AlgorithmQ1

Abstract

The purpose of this study is to provide an optimal selection model for multi-round equity portfolios based on the value of exposed risk periods, with transaction costs. Multi-stock portfolios allow the investor to revise the contents of the basket over time and adjust it to fit new information. For sample, ten portfolios of five shares were randomly selected from companies listed in Tehran Stock Exchange during the years of 1388-1393, which, with an annual risk-free return (20%), average quarterly returns of more than 0. 1, were selected. The proposed model is optimized using two continuous and cumulative particle Genetic Algorithms. In order to measure the efficiency of the results of the two algorithms, a risk-based value criterion has been used and the result of the research suggests higher efficiency of the results of the particle cumulative algorithm compared to the Genetic Algorithm.

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APA: Copy

DAVOODI, SAYYED MOHAMMAD REZA, & Sadri, Abolfazl. (2018). Compare Meta-heuristic Algorithms on Optimal Model of Multi Period Portfolio Based on the Value at Risk. JOURNAL OF SECURITIES EXCHANGE, 11(41 ), 121-152. SID. https://sid.ir/paper/187687/en

Vancouver: Copy

DAVOODI SAYYED MOHAMMAD REZA, Sadri Abolfazl. Compare Meta-heuristic Algorithms on Optimal Model of Multi Period Portfolio Based on the Value at Risk. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2018;11(41 ):121-152. Available from: https://sid.ir/paper/187687/en

IEEE: Copy

SAYYED MOHAMMAD REZA DAVOODI, and Abolfazl Sadri, “Compare Meta-heuristic Algorithms on Optimal Model of Multi Period Portfolio Based on the Value at Risk,” JOURNAL OF SECURITIES EXCHANGE, vol. 11, no. 41 , pp. 121–152, 2018, [Online]. Available: https://sid.ir/paper/187687/en

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