Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm

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Neshatizade Laya; Haidari Hassan

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING Year:2018 | Volume:3 | Issue:4 (11) Page(s): 11-35

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Information Journal Paper

Title

Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm

Author(s)

Neshatizade Laya | Haidari Hassan | Issue Writer Certificate

Keywords

Imperialist-competitive AlgorithmQ1

Stock portfolio-optimizationQ1

VarianceQ2

Semi-VarianceQ1

Absolute Deviations ApproachQ1

Conditional Value at RiskQ1

Abstract

The dynamics of capital markets is one of the main effective parameters of economy growth of each country. Selecting of optimal collection of properties is one of the capital market theories that has the certain importance in economics. The main aim of this research is solving Stock portfolio-optimization using of Imperialist Competitive Algorithm. An applied pattern is developed model of mean-Variance, mean-semi Variance, mean-absolute deviations and Mean-Conditional Value at Riskthat its limitation has been added. In the purpose of solving problem of optimization of investment basket, we used of 25 daily accepted stock in Tehran Stock Exchange between 2009-2016. The results of 4 patterns portfolio of research show that in the Imperialist Competitive Algorithm (ICA), mean-Conditional Value at Risk has high accuracy optimization in compare of others.

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APA: Copy

Neshatizade, Laya, & Haidari, Hassan. (2018). Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm. JOURNAL OF ECONOMIC MODELING, 3(4 (11) ), 11-35. SID. https://sid.ir/paper/408664/en

Vancouver: Copy

Neshatizade Laya, Haidari Hassan. Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm. JOURNAL OF ECONOMIC MODELING[Internet]. 2018;3(4 (11) ):11-35. Available from: https://sid.ir/paper/408664/en

IEEE: Copy

Laya Neshatizade, and Hassan Haidari, “Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm,” JOURNAL OF ECONOMIC MODELING, vol. 3, no. 4 (11) , pp. 11–35, 2018, [Online]. Available: https://sid.ir/paper/408664/en

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