Comparative Evaluation of Markowitz Approach with a New Hybrid Method to Create an Optimal Portfolio Using Deep DNN Learning Method and Gravitational Search Algorithm

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Zare Mohammad Hasan; NILCHI MOSLEM; Fareed Daryush

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2020 | Volume:9 | Issue:4 (28) Page(s): 165-188

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Title

Comparative Evaluation of Markowitz Approach with a New Hybrid Method to Create an Optimal Portfolio Using Deep DNN Learning Method and Gravitational Search Algorithm

Author(s)

Zare Mohammad Hasan | NILCHI MOSLEM | Fareed Daryush | Issue Writer Certificate

Keywords

Hybrid ApproachQ1

Stock PortfolioQ1

Gravitational Research ApproachQ1

Deep LearningQ1

Abstract

The aim of this study is to compare the New Hybrid Method with the usual Markowitz method in creating an optimal portfolio. To this end, at the first stage, the future stock prices were predicted using a deep DNN learning method and stock technical variables for the period 1397/4/2 to 1397/6/2. Then, based on future stock prices, stock return and risk were calculated and, by using Gravitational Algorithm, portfolio profits were maximized. This results in creating low risk to high risk portfolios on the Pareto efficient frontier. After that, the future return of portfolios was calculated for the next two months, and the process was repeated for 30 weeks in the form of weekly Rolling Window. These results were compared with the results of usual Markovitz method for 30 periods. The results indicated that both Markowitz and New Hybrid methods showed only better performance in predicting stock prices of risk averse portfolios than average market index.

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APA: Copy

Zare, Mohammad Hasan, NILCHI, MOSLEM, & Fareed, Daryush. (2020). Comparative Evaluation of Markowitz Approach with a New Hybrid Method to Create an Optimal Portfolio Using Deep DNN Learning Method and Gravitational Search Algorithm. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 9(4 (28) ), 165-188. SID. https://sid.ir/paper/399712/en

Vancouver: Copy

Zare Mohammad Hasan, NILCHI MOSLEM, Fareed Daryush. Comparative Evaluation of Markowitz Approach with a New Hybrid Method to Create an Optimal Portfolio Using Deep DNN Learning Method and Gravitational Search Algorithm. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2020;9(4 (28) ):165-188. Available from: https://sid.ir/paper/399712/en

IEEE: Copy

Mohammad Hasan Zare, MOSLEM NILCHI, and Daryush Fareed, “Comparative Evaluation of Markowitz Approach with a New Hybrid Method to Create an Optimal Portfolio Using Deep DNN Learning Method and Gravitational Search Algorithm,” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 9, no. 4 (28) , pp. 165–188, 2020, [Online]. Available: https://sid.ir/paper/399712/en

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