The Effects of Stock Portfolio Size On Stock Portfolio Optimization

One of the main concerns of investors in financial markets is creating an investment portfolio in order to maximize return and minimize risk, and finding the best portfolio optimization methods is an attractive topic for financial researchers. We cannot deny the importance of studying to find the best optimization methods and algorithms, but we should also not neglect the impact of portfolio size in portfolio optimization problem. Therefore, this paper seeks to determine the best volume of the stock portfolio for optimization. In this research, Markowitz mean-variance model is used for portfolio optimization. A simple mathematical model that maximizes return of assets at a fixed level of risk or minimizes risk of assets at a fixed level of return. To solve this problem, three heuristic algorithms of genetics, simulated annealing and the combination of these two algorithms have been employed. Finally, by creating portfolios with ۱۰, ۲۰, and ۳۰ stocks from the New York stock market in the first quarter of ۲۰۱۱ and comparing the optimization results, the best portfolio volume was discovered. The results show that small portfolios have the highest returns, while medium portfolios can minimize the risk and large portfolios have the worst performance in terms of profit and risk.

کلیدواژه ها:

portfolio size ، optimization ، mean-variance ، algorithm