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
- محل انتشار: مجله آنالیز غیر خطی و کاربردها، دوره: 15، شماره: 6
- کد COI اختصاصی: JR_IJNAA-15-6_006
- زبان مقاله: انگلیسی
- تعداد مشاهده: 79
نویسندگان
Department of Accounting, Nour Branch, Islamic Azad University, Nour, Iran
Department of Accounting, Nour Branch, Islamic Azad University, Nour, Iran
Department of Accounting, Noushahr Branch, Islamic Azad University, Noushahr, Iran
Department of Accounting, Bandargaz Branch, Islamic Azad University, Bandargaz, Iran
Department of Mathematics and Statistics, Nour Branch, Islamic Azad University, Nour, Iran
چکیده
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 algorithmاطلاعات بیشتر در مورد COI
COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.
کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.