Portfolio optimization with differential evolution and conditional value at risk approach

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RAMTINNIA SHAHIN; ATRCHI ROMINA

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 25-36

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Title

Portfolio optimization with differential evolution and conditional value at risk approach

Author(s)

RAMTINNIA SHAHIN | ATRCHI ROMINA | Issue Writer Certificate

Keywords

Stock portfolio optimizationQ1

differential development methodQ2

Value at riskQ2

Abstract

Portfolio selection,in order to maximize the profit from investment,is an important concern for minor and institutional investors.Therefore;efficient and secure optimization of financial assets is one of the most important new and modern,financial topics,trying to improve the portfolio performance using modern approaches of other sciences.Accordingly,this article aimed to optimize the index returns of top 10 companies of Tehran Stock Exchange from 2011 to 2015 using portfolio risk minimization approach with the maximum yield according to conditional Value at risk and differential evolution algorithm(DE-CVaR) on a monthly basis.The results showed that differential evolution algorithm with the conditional Value at risk approach,had better Sharpe and returns ratios by CVaR value compared to the random algorithm.The results of posttest with monthly approach also showed that DE-CVaR was better than random algorithm in terms of the criteria for selecting the optimal portfolio.

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APA: Copy

RAMTINNIA, SHAHIN, & ATRCHI, ROMINA. (2019). Portfolio optimization with differential evolution and conditional value at risk approach. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 25-36. SID. https://sid.ir/paper/200358/en

Vancouver: Copy

RAMTINNIA SHAHIN, ATRCHI ROMINA. Portfolio optimization with differential evolution and conditional value at risk approach. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):25-36. Available from: https://sid.ir/paper/200358/en

IEEE: Copy

SHAHIN RAMTINNIA, and ROMINA ATRCHI, “Portfolio optimization with differential evolution and conditional value at risk approach,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 25–36, 2019, [Online]. Available: https://sid.ir/paper/200358/en

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