Evaluation and comparison of portfolio optimization with the degree of stock risk adjustment based on the performance measurement model based on the hybrid metaheuristic algorithm and gray wolf optimization algorithm
سال انتشار: 1403
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 78
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شناسه ملی سند علمی:
JR_IJNAA-15-6_006
تاریخ نمایه سازی: 17 اردیبهشت 1403
چکیده مقاله:
The investment portfolio optimization process including allocation of assets allocated capital percentage to each asset, risk management, and creating a new portfolio with a certain level of risk and return based on investors' expectations has always been an attractive and controversial issue in the field of financial decision making. The objective of this research is to evaluate and compare portfolio optimization with the degree of stock risk adjustment based on the performance measurement model based on the hybrid metaheuristic algorithm and gray wolf optimization algorithm. The statistical population of this research is the research statistical population which is all the listed companies in Tehran Stock Exchange for ۷ years from ۲۰۱۴ to ۲۰۲۰. Based on the limitations imposed on the statistical population, the active companies in Tehran Stock Exchange have been investigated as the research sample. The obtained results from the tests show that a hybrid metaheuristic algorithm improves the adjusted risk.
کلیدواژه ها:
Portfolio Optimization ، degree of stock risk adjustment ، performance measurement model ، hybrid metaheuristic algorithm ، gray wolf optimization algorithm
نویسندگان
Amir Mosazadeh
Department of Accounting, Nour Branch, Islamic Azad University, Nour, Iran
Javad Ramezani
Department of Accounting, Nour Branch, Islamic Azad University, Nour, Iran
Mona Aliakbari
Department of Accounting, Noushahr Branch, Islamic Azad University, Noushahr, Iran
Mehdi Safari Geraiely
Department of Accounting, Bandargaz Branch, Islamic Azad University, Bandargaz, Iran
Ramezan Rezaeian
Department of Mathematics and Statistics, Nour Branch, Islamic Azad University, Nour, Iran
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