Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

TEHRANI REZA; Fallah Tafti Sima; Asefi Sepehr

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL RESEARCH Year:2019 | Volume:20 | Issue:4 Page(s): 409-426

Download Full-Text

Persian Verion

View:

1,001

Download:

Cites:

Information Journal Paper

Title

Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange

Author(s)

TEHRANI REZA | Fallah Tafti Sima | Asefi Sepehr | Issue Writer Certificate

Keywords

Krill herd algorithmQ1

Portfolio optimizationQ1

Metaheuristic algorithmsQ1

Expected shortfallQ1

Semi-varianceQ1

Abstract

Objective: Portfolio optimization is one of the most important issues in investment. Harry Markowitz was the first person who applied risk with this regard. This issue was later studied from different perspectives, using various risk measures, optimization methods, and considering transaction costs. In this research, we aim to use the Krill Herd metaheuristic algorithm in Portfolio optimization, and examine its possible advantages. Methods: In the present study, we try to solve the Portfolio optimization problem and to find the efficient frontier using Krill Herd’ s novel algorithm. We also consider three different measures for risk: variance, Semi-variance, and Expected shortfall. Our data consists of adjusted returns of the top fifty stocks in Tehran Stock Exchange from 2012 to 2018. Results: At first, the efficient frontiers of the optimal portfolios, using different measures for risk were plotted. The relative similarity of the three plots indicates the stability of the Krill herd algorithm in obtaining efficient frontiers. Then, we observed that the Sharpe Ratios of this algorithm are higher than those of Imperialist Competitive and Particles Swarm Algorithms. Conclusion: The Krill herd algorithm has a better performance finding efficient frontier and optimized portfolios in comparison to the other common algorithms; therefore, it can be used instead of the other algorithms to obtain better results.

Cites

No record.

References

No record.

Cite

APA: Copy

TEHRANI, REZA, Fallah Tafti, Sima, & Asefi, Sepehr. (2019). Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange. FINANCIAL RESEARCH, 20(4 ), 409-426. SID. https://sid.ir/paper/91234/en

Vancouver: Copy

TEHRANI REZA, Fallah Tafti Sima, Asefi Sepehr. Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange. FINANCIAL RESEARCH[Internet]. 2019;20(4 ):409-426. Available from: https://sid.ir/paper/91234/en

IEEE: Copy

REZA TEHRANI, Sima Fallah Tafti, and Sepehr Asefi, “Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange,” FINANCIAL RESEARCH, vol. 20, no. 4 , pp. 409–426, 2019, [Online]. Available: https://sid.ir/paper/91234/en

Related Journal Papers