Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk

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Shahriari Ali Asghar; DAEI KARIMZADEH SAEED; BEHMANESH REZA

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2021 | Volume:14 | Issue:51 Page(s): 111-133

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Information Journal Paper

Title

Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk

Author(s)

Shahriari Ali Asghar | DAEI KARIMZADEH SAEED | BEHMANESH REZA | Issue Writer Certificate

Keywords

Optimal Portfolio

Conditional Value at Risk

Fireworks Algorithm

Genetic Algorithm

Abstract

Devaluation of assets in the future is one of the most important investment concerns that has led investors to choose the set of assets that have the lowest risk and highest return. The present study deals with the problem of stock portfolio optimization according to the Conditional Value at Risk based on the new and intelligent Fireworks Algorithm and compares it with Genetic Algorithm with the historical simulation method using MATLAB software. The parameters of meta-heuristic algorithms were adjusted by Taguchi method using MINITAB software. Not suspended, used. For reliability of the study, generalized Dickey-Fuller test and Phillips-Prone test were used. To evaluate the accuracy of the Conditional Value at Risk model, the kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used. A comparison was also made between the models by Lopez test. Findings showed that at %95 and %99 confidence levels, the conditional risk value model using the Fireworks Algorithm has a suitable and reliable validity for measuring market risk and optimizing the stock portfolio.

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APA: Copy

Shahriari, Ali Asghar, DAEI KARIMZADEH, SAEED, & BEHMANESH, REZA. (2021). Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 14(51 ), 111-133. SID. https://sid.ir/paper/970297/en

Vancouver: Copy

Shahriari Ali Asghar, DAEI KARIMZADEH SAEED, BEHMANESH REZA. Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2021;14(51 ):111-133. Available from: https://sid.ir/paper/970297/en

IEEE: Copy

Ali Asghar Shahriari, SAEED DAEI KARIMZADEH, and REZA BEHMANESH, “Comparative Analysis of Stock Portfolio Optimization in Fireworks and Genetic Algorithms Using Conditional Value at Risk,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 14, no. 51 , pp. 111–133, 2021, [Online]. Available: https://sid.ir/paper/970297/en

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