STOCK PORTFOLIO OPTIMIZATION: EFFECTIVENESS OF PARTICLE SWARM OPTIMIZATION AND MARKOWITZ MODEL

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BAYAT ALI; ASADI LIDA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:32 Page(s): 63-85

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Information Journal Paper

Title

STOCK PORTFOLIO OPTIMIZATION: EFFECTIVENESS OF PARTICLE SWARM OPTIMIZATION AND MARKOWITZ MODEL

Author(s)

BAYAT ALI | ASADI LIDA | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATIONQ1

PARTICLE SWARM OPTIMIZATIONQ1

MARKOWITZ MODELQ2

RETURN ON INVESTMENTSQ1

VARIANCE –MEAN MODELQ1

Abstract

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. The 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.

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APA: Copy

BAYAT, ALI, & ASADI, LIDA. (2017). STOCK PORTFOLIO OPTIMIZATION: EFFECTIVENESS OF PARTICLE SWARM OPTIMIZATION AND MARKOWITZ MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(32 ), 63-85. SID. https://sid.ir/paper/197843/en

Vancouver: Copy

BAYAT ALI, ASADI LIDA. STOCK PORTFOLIO OPTIMIZATION: EFFECTIVENESS OF PARTICLE SWARM OPTIMIZATION AND MARKOWITZ MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(32 ):63-85. Available from: https://sid.ir/paper/197843/en

IEEE: Copy

ALI BAYAT, and LIDA ASADI, “STOCK PORTFOLIO OPTIMIZATION: EFFECTIVENESS OF PARTICLE SWARM OPTIMIZATION AND MARKOWITZ MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 32 , pp. 63–85, 2017, [Online]. Available: https://sid.ir/paper/197843/en

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